On taxed spectrally negative Lévy processes with draw-down stopping

Florin Avram, Nhat Linh Vu and Xiaowen Zhou

Insurance: Mathematics and Economics, 2017, vol. 76, issue C, 69-74

Abstract: In this paper we consider a spectrally negative Lévy risk model with tax. With the ruin time replaced by a draw-down time with a linear draw-down function and for a constant tax rate, we find expressions for the present values of tax payments. They generalize previous results in Albrecher et al. (2008). Alternative proofs are given for the special case of Cramér–Lundberg risk models. Optimal barrier taxation policies are discussed.

Keywords: Lévy risk model with tax; Draw-down time (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:76:y:2017:i:c:p:69-74

DOI: 10.1016/j.insmatheco.2017.06.005

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