an:05306900
Zbl 1144.60032
Albrecher, Hansj??rg; Renaud, Jean-Fran??ois; Zhou, Xiaowen
A L??vy insurance risk process with tax
EN
J. Appl. Probab. 45, No. 2, 363-375 (2008).
00227110
2008
j
60G51 91B30 60J75
L??vy process; fluctuation theory; excursion theory; scale functions; insurance risk theory; ruin probability; tax payments
Summary: Using fluctuation theory, we solve the two-sided exit problem and identify the ruin probability for a general spectrally negative L??vy risk process with tax payments of a loss-carry-forward type. We study arbitrary moments of the discounted total amount of tax payments and determine the surplus level to start taxation which maximises the expected discounted aggregate income for the tax authority in this model. The results considerably generalise those for the Cram??r-Lundberg risk model with tax.