Ruin probability in the presence of interest earnings and tax payments
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.
Year of publication: |
2009
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---|---|
Authors: | Wei, Li |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 45.2009, 1, p. 133-138
|
Publisher: |
Elsevier |
Keywords: | Classical risk model Compound interest Ruin probability Subexponential distributions Tax payments |
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