English, Article edition: Ruin probability in the presence of interest earnings and tax payments Wei, Li

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Ruin probability in the presence of interest earnings and tax payments
Author
  • Wei, Li
Physical Description
  • article
Notes
  • In this paper we investigate the ruin probability in a general risk model driven by a compound Poisson process. We derive a formula for the ruin probability from which the Albrecher-Hipp tax identity follows as a corollary. Then we study, as an important special case, the classical risk model with a constant force of interest and loss-carried-forward tax payments. For this case we derive an exact formula for the ruin probability when the claims are exponential and an explicit asymptotic formula when the claims are subexponential.
  • Classical risk model Compound interest Ruin probability Subexponential distributions Tax payments
  • RePEc:eee:insuma:v:45:y:2009:i:1:p:133-138
Language
  • English
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