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Asymptotic Ruin Probabilities of the Lévy Insurance Model under Periodic Taxation

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  • Hao, Xuemiao
  • Tang, Qihe

Abstract

Recently, Albrecher and his coauthors have published a series of papers on the ruin probability of the Lévy insurance model under the so-called loss-carry-forward taxation, meaning that taxes are paid at a certain fixed rate immediately when the surplus of the company is at a running maximum. In this paper we assume periodic taxation under which the company pays tax at a fixed rate on its net income during each period. We devote ourselves to deriving explicit asymptotic relations for the ruin probability in the most general Lévy insurance model in which the Lévy measure has a subexponential tail, a convolution-equivalent tail, or an exponential-like tail.

Suggested Citation

  • Hao, Xuemiao & Tang, Qihe, 2009. "Asymptotic Ruin Probabilities of the Lévy Insurance Model under Periodic Taxation," ASTIN Bulletin, Cambridge University Press, vol. 39(2), pages 479-494, November.
    • Handle: RePEc:cup:astinb:v:39:y:2009:i:02:p:479-494_00
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    Cited by:

    1. Wenyuan Wang & Zhimin Zhang, 2019. "Optimal loss-carry-forward taxation for L\'{e}vy risk processes stopped at general draw-down time," Papers 1904.08029, arXiv.org.
    2. Wang, Wenyuan & Hu, Yijun, 2012. "Optimal loss-carry-forward taxation for the Lévy risk model," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 121-130.
    3. Wenyuan Wang & Xueyuan Wu & Cheng Chi, 2019. "Optimal implementation delay of taxation with trade-off for L\'{e}vy risk Processes," Papers 1910.08158, arXiv.org.
    4. Wenyuan Wang & Xiaowen Zhou, 2019. "Potential Densities for Taxed Spectrally Negative Lévy Risk Processes," Risks, MDPI, vol. 7(3), pages 1-11, August.

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