On the expected discounted penalty function for risk process with tax

被引：14

作者：

Wang, Wenyuan ^{[2
,3
]}

Ming, Ruixing ^{[1
,3
]}

Hu, Yijun ^{[2
]}

机构：

[1] Univ Sci & Technol China, Sch Management, Hefei 230026, Anhui, Peoples R China

[2] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Hubei, Peoples R China

[3] Jiangxi Normal Univ, Sch Math & Informat Sci, Nanchang 330022, Jiangxi, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2011年 / 81卷 / 04期

基金：

中国国家自然科学基金;

关键词：

Generalized Cramer-Lundberg risk model; Expected discounted penalty function; Laplace transform; Ruin;

D O I：

10.1016/j.spl.2010.12.012

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we consider the generalized Cramer-Lundberg risk model including tax payments. We investigate how tax payments affect the behavior of a Cramer-Lundberg surplus process by defining an expected discounted penalty function at ruin. We derive an explicit expression for this function by solving a differential equation. Consequently, the explicit formulas for the discounted probability density function of the surplus immediately before ruin and the discounted joint probability density function of the surplus immediately before ruin and the deficit at ruin are obtained. We also give explicit expressions for the function for exponential claims. (c) 2010 Elsevier B.V. All rights reserved.

引用

页码：489 / 501

页数：13

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