On the expected discounted penalty function for risk process with tax

Wenyuan Wang, Ruixing Ming and Yijun Hu

Statistics & Probability Letters, 2011, vol. 81, issue 4, 489-501

Abstract: In this paper we consider the generalized Cramér-Lundberg risk model including tax payments. We investigate how tax payments affect the behavior of a Cramér-Lundberg surplus process by defining an expected discounted penalty function at ruin. We derive an explicit expression for this function by solving a differential equation. Consequently, the explicit formulas for the discounted probability density function of the surplus immediately before ruin and the discounted joint probability density function of the surplus immediately before ruin and the deficit at ruin are obtained. We also give explicit expressions for the function for exponential claims.

Keywords: Generalized; Cramer-Lundberg; risk; model; Expected; discounted; penalty; function; Laplace; transform; Ruin (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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