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Optimal implementation delay of taxation with trade-off for L\'{e}vy risk Processes

Wenyuan Wang, Xueyuan Wu and Cheng Chi

Papers from arXiv.org

Abstract: In this paper we consider two problems on optimal implementation delay of taxation with trade-off for spectrally negative L\'{e}vy insurance risk processes. In the first case, we assume that an insurance company starts to pay tax when its surplus reaches a certain level $b$ and at the termination time of the business there is a terminal value incurred to the company. The total expected discounted value of tax payments plus the terminal value is maximized to obtain the optimal implementation level $b^*$. In the second case, the company still pays tax subject to an implementation level $a$ but with capital injections to prevent bankruptcy. The total expected discounted value of tax payments minus the capital injection costs is maximized to obtain the optimal implementation level $a^*$. Numerical examples are also given to illustrate the main results in this paper.

New Economics Papers: this item is included in nep-ias and nep-rmg
Date: 2019-10
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