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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
 
DOIhttp://dx.doi.org/10.1007/s11857-010-0104-4
 
ReferencesReferences in Scopus
 
DC FieldValue
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
 
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
 
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