The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure

Jean-François Renaud

Insurance: Mathematics and Economics, 2009, vol. 45, issue 2, 242-246

Abstract: We study the distribution of tax payments in the model of Kyprianou and Zhou [Kyprianou, A.E., Zhou, X., 2009. General tax structures and the Lévy insurance risk model. J. Appl. Probab. (in press)], that is a Lévy insurance risk model with a surplus-dependent tax rate. More precisely, after a short discussion on the so-called tax identity, we derive a recursive formula for arbitrary moments of the discounted tax payments until ruin and we identify the distribution of the tax payments when there is no force of interest.

Keywords: Insurance; risk; theory; General; taxation; structure; Tax; payments; Levy; processes (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:45:y:2009:i:2:p:242-246

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