General tax structures for a Lévy insurance risk process under the Cramér condition

Philip S. Griffin

Stochastic Processes and their Applications, 2020, vol. 130, issue 3, 1368-1387

Abstract: We investigate the Lévy insurance risk model with tax under Cramér’s condition. A direct analogue of Cramér’s estimate for the probability of ruin in this model is obtained, together with the asymptotic distribution, conditional on ruin occurring, of several variables of interest related to ruin including the surplus immediately prior to ruin (undershoot) and shortfall at ruin (overshoot). We also compute the present value of all tax paid conditional on ruin occurring. The proof involves first transferring results from the model with no tax to the reflected process, and from there to the model with tax.

Keywords: Lévy insurance risk process; Cramér condition; Reflected process; Tax structures; First passage time; Overshoot (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:130:y:2020:i:3:p:1368-1387

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DOI: 10.1016/j.spa.2019.05.003

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