Albrecher, Hansjörg Borst, Sem Boxma, Onno Resing, Jacques
Abstract
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.
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Volume (Year): 44 (2009) Issue (Month): 2 (April) Pages: 304-306 Download reference. The following formats are available: HTML
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