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

TitleOn the Markov-modulated insurance risk model with tax
Authors
KeywordsInsurance mathematics
Issue Date2010
PublisherSpringer. The Journal's web site is located at http://www.springer.com/math/quantitative+finance/journal/11857
Citation
Blaetter Der Dgvfm, 2010, v. 31 n. 1, p. 65-78 How to Cite?
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.
Persistent Identifierhttp://hdl.handle.net/10722/125399
ISSN
2013 SCImago Journal Rankings: 0.182
References

 

DC FieldValueLanguage
dc.contributor.authorWei, Jen_HK
dc.contributor.authorYang, Hen_HK
dc.contributor.authorWang, Ren_HK
dc.date.accessioned2010-10-31T11:29:12Z-
dc.date.available2010-10-31T11:29:12Z-
dc.date.issued2010en_HK
dc.identifier.citationBlaetter Der Dgvfm, 2010, v. 31 n. 1, p. 65-78en_HK
dc.identifier.issn1864-0281en_HK
dc.identifier.urihttp://hdl.handle.net/10722/125399-
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.en_HK
dc.languageengen_HK
dc.publisherSpringer. The Journal's web site is located at http://www.springer.com/math/quantitative+finance/journal/11857en_HK
dc.relation.ispartofBlaetter der DGVFMen_HK
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 taxen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1864-0281&volume=31&issue=1&spage=65&epage=78&date=2010&atitle=On+the+Markov-modulated+insurance+risk+model+with+taxen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturepostprint-
dc.identifier.doi10.1007/s11857-010-0104-4en_HK
dc.identifier.scopuseid_2-s2.0-77955089661en_HK
dc.identifier.hkuros173064en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77955089661&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume31en_HK
dc.identifier.issue1en_HK
dc.identifier.spage65en_HK
dc.identifier.epage78en_HK
dc.publisher.placeGermanyen_HK
dc.identifier.scopusauthoridWei, J=24438631900en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridWang, R=7405334582en_HK
dc.identifier.citeulike6798659-

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