Omega risk model with tax

Zhenyu Cui

Papers from arXiv.org

Abstract: In this paper we study the Omega risk model with surplus-dependent tax payments in a time-homogeneous diffusion setting. The new model incorporates practical features from both the Omega risk model(Albrecher and Gerber and Shiu (2011)) and the risk model with tax(Albrecher and Hipp (2007)). We explicitly characterize the Laplace transform of the occupation time of an Azema-Yor process(e.g. a process refracted by functionals of its running maximum) below a constant level until the first hitting time of another Azema-Yor process or until an independent exponential time. This result unifies and extends recent literature(Li and Zhou (2013) and Zhang (2014)) incorporating some of their results as special cases. We explicitly characterize the Laplace transform of the time of bankruptcy in the Omega risk model with tax and discuss an extension to integral functionals. Finally we present examples using a Brownian motion with drift.

Date: 2014-03
New Economics Papers: this item is included in nep-pbe and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1403.7680 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1403.7680

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().