English, Article edition: The tax identity in risk theory -- a simple proof and an extension Albrecher, Hansjörg; Borst, Sem; Boxma, Onno; ...

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Physical Description
  • article
Language
  • English

Edition details

Title
  • The tax identity in risk theory -- a simple proof and an extension
Author
  • Albrecher, Hansjörg
  • Borst, Sem
  • Boxma, Onno
  • Resing, Jacques
Physical Description
  • article
Notes
  • By linking queueing concepts with risk theory, we give a simple and insightful proof of the tax identity in the Cramér-Lundberg model that was recently derived in Albrecher &​ Hipp [Albrecher, H., Hipp, C., 2007. Lundberg's risk process with tax. Blätter der DGVFM 28 (1), 13-28], and extend the identity to arbitrary surplus-dependent tax rates.
  • Compound Poisson model Insurance risk Survival probability Maximum workload Tax payments
  • RePEc:eee:insuma:v:44:y:2009:i:2:p:304-306
Language
  • English
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