Article: On the Markov-modulated insurance risk model with tax

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TitleOn the Markov-modulated insurance risk model with tax
AuthorsWei, J
Yang, H
Wang, R
KeywordsInsurance mathematics
Issue Date2010
PublisherSpringer. The Journal's web site is located at http://www.springer.com/math/quantitative+finance/journal/11857
CitationBlaetter Der Dgvfm, 2010, v. 31 n. 1, p. 65-78 [How to Cite?]
DOI: http://dx.doi.org/10.1007/s11857-010-0104-4
AbstractIn this paper, we consider the Markov-modulated insurance risk model with tax. We assume that the claim inter-arrivals, claim sizes and premium process are influenced by an external Markovian environment process. The considered tax rule, which is the same as the one considered by Albrecher and Hipp [Blätter DGVFM 28(1):13-28, 2007], is to pay a certain proportion of the premium income, whenever the insurer is in a profitable situation. A system of differential equations of the non-ruin probabilities, given the initial environment state, are established in terms of the ruin probabilities under the Markov-modulated insurance risk model without tax. Furthermore, given the initial state, the differential equations satisfied by the expected accumulated discounted tax until ruin are also derived. We also give the analytical expressions for them by iteration methods. © 2010 DAV / DGVFM.
ISSN1864-0281
2011 SCImago Journal Rankings: 0.027
DOIhttp://dx.doi.org/10.1007/s11857-010-0104-4
ReferencesReferences in Scopus
DC Field
Value
dc.contributor.authorWei, J
dc.contributor.authorYang, H
dc.contributor.authorWang, R
dc.date.accessioned2010-10-31T11:29:12Z
dc.date.available2010-10-31T11:29:12Z
dc.date.issued2010
dc.description.abstractIn this paper, we consider the Markov-modulated insurance risk model with tax. We assume that the claim inter-arrivals, claim sizes and premium process are influenced by an external Markovian environment process. The considered tax rule, which is the same as the one considered by Albrecher and Hipp [Blätter DGVFM 28(1):13-28, 2007], is to pay a certain proportion of the premium income, whenever the insurer is in a profitable situation. A system of differential equations of the non-ruin probabilities, given the initial environment state, are established in terms of the ruin probabilities under the Markov-modulated insurance risk model without tax. Furthermore, given the initial state, the differential equations satisfied by the expected accumulated discounted tax until ruin are also derived. We also give the analytical expressions for them by iteration methods. © 2010 DAV / DGVFM.
dc.description.naturepostprint
dc.identifier.citationBlaetter Der Dgvfm, 2010, v. 31 n. 1, p. 65-78 [How to Cite?]
DOI: http://dx.doi.org/10.1007/s11857-010-0104-4
dc.identifier.citeulike6798659
dc.identifier.doihttp://dx.doi.org/10.1007/s11857-010-0104-4
dc.identifier.epage78
dc.identifier.hkuros173064
dc.identifier.issn1864-0281
2011 SCImago Journal Rankings: 0.027
dc.identifier.issue1
dc.identifier.openurl
dc.identifier.scopuseid_2-s2.0-77955089661
dc.identifier.spage65
dc.identifier.urihttp://hdl.handle.net/10722/125399
dc.identifier.volume31
dc.languageeng
dc.publisherSpringer. The Journal's web site is located at http://www.springer.com/math/quantitative+finance/journal/11857
dc.publisher.placeGermany
dc.relation.ispartofBlaetter der DGVFM
dc.relation.referencesReferences in Scopus
dc.rightsThe original publication is available at www.springerlink.com
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License
dc.subjectInsurance mathematics
dc.titleOn the Markov-modulated insurance risk model with tax
dc.typeArticle