Publication date: Available online 5 July 2017
Source:Insurance: Mathematics and Economics
Author(s): Florin Avram, Nhat Linh Vu, Xiaowen Zhou
In this paper we consider a spectrally negative Lévy risk model with tax. With the ruin time replaced by a draw-down time with a linear draw-down function and for a constant tax rate, we find expressions for the present values of tax payments. They generalize previous results in Albrecher et al. (2008). Alternative proofs are given for the special case of Cramér-Lundberg risk models. Optimal barrier taxation policies are discussed.
Source:Insurance: Mathematics and Economics
Author(s): Florin Avram, Nhat Linh Vu, Xiaowen Zhou