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Article: On a Risk Model with Surplus-dependent Premium and Tax Rates

TitleOn a Risk Model with Surplus-dependent Premium and Tax Rates
Authors
KeywordsDiscounted tax payments
Gerber-Shiu function
Maximum surplus level
Surplus-dependent premium
Tax identity
Issue Date2012
PublisherSpringer Verlag Dordrecht. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1387-5841
Citation
Methodology And Computing In Applied Probability, 2012, v. 14 n. 2, p. 233-251 How to Cite?
AbstractIn this paper, the compound Poisson risk model with surplus-dependent premium rate is analyzed in the taxation system proposed by Albrecher and Hipp (Blätter der DGVFM 28(1):13-28, 2007). In the compound Poisson risk model, Albrecher and Hipp (Blätter der DGVFM 28(1):13-28, 2007) showed that a simple relationship between the ruin probabilities in the risk model with and without tax exists. This so-called tax identity was later generalized to a surplus-dependent tax rate by Albrecher et al. (Insur Math Econ 44(2):304-306, 2009). The present paper further generalizes these results to the Gerber-Shiu function with a generalized penalty function involving the maximum surplus prior to ruin. We show that this generalized Gerber-Shiu function in the risk model with tax is closely related to the 'original' Gerber-Shiu function in the risk model without tax defined in a dividend barrier framework. The moments of the discounted tax payments before ruin and the optimal threshold level for the tax authority to start collecting tax payments are also examined. © 2010 The Author(s).
Persistent Identifierhttp://hdl.handle.net/10722/135490
ISSN
2015 Impact Factor: 0.782
2015 SCImago Journal Rankings: 0.502
ISI Accession Number ID
Funding AgencyGrant Number
Faculty of Science
Natural Sciences and Engineering Research Council of Canada
Department of Statistics and Actuarial Science at the University of Hong Kong
Funding Information:

The authors would like to thank the anonymous referee for helpful comments and suggestions which improve the presentation of the paper. Support for Eric C.K. Cheung from a start-up fund provided by the Faculty of Science and the Department of Statistics and Actuarial Science at the University of Hong Kong and support for David Landriault from the Natural Sciences and Engineering Research Council of Canada are gratefully acknowledged.

References

 

DC FieldValueLanguage
dc.contributor.authorCheung, ECKen_HK
dc.contributor.authorLandriault, Den_HK
dc.date.accessioned2011-07-27T01:36:03Z-
dc.date.available2011-07-27T01:36:03Z-
dc.date.issued2012en_HK
dc.identifier.citationMethodology And Computing In Applied Probability, 2012, v. 14 n. 2, p. 233-251en_HK
dc.identifier.issn1387-5841en_HK
dc.identifier.urihttp://hdl.handle.net/10722/135490-
dc.description.abstractIn this paper, the compound Poisson risk model with surplus-dependent premium rate is analyzed in the taxation system proposed by Albrecher and Hipp (Blätter der DGVFM 28(1):13-28, 2007). In the compound Poisson risk model, Albrecher and Hipp (Blätter der DGVFM 28(1):13-28, 2007) showed that a simple relationship between the ruin probabilities in the risk model with and without tax exists. This so-called tax identity was later generalized to a surplus-dependent tax rate by Albrecher et al. (Insur Math Econ 44(2):304-306, 2009). The present paper further generalizes these results to the Gerber-Shiu function with a generalized penalty function involving the maximum surplus prior to ruin. We show that this generalized Gerber-Shiu function in the risk model with tax is closely related to the 'original' Gerber-Shiu function in the risk model without tax defined in a dividend barrier framework. The moments of the discounted tax payments before ruin and the optimal threshold level for the tax authority to start collecting tax payments are also examined. © 2010 The Author(s).en_HK
dc.languageengen_US
dc.publisherSpringer Verlag Dordrecht. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1387-5841en_HK
dc.relation.ispartofMethodology and Computing in Applied Probabilityen_HK
dc.rightsThe Author(s)en_US
dc.rightsCreative Commons: Attribution 3.0 Hong Kong Licenseen_US
dc.subjectDiscounted tax paymentsen_HK
dc.subjectGerber-Shiu functionen_HK
dc.subjectMaximum surplus levelen_HK
dc.subjectSurplus-dependent premiumen_HK
dc.subjectTax identityen_HK
dc.titleOn a Risk Model with Surplus-dependent Premium and Tax Ratesen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4551/resserv?sid=springerlink&genre=article&atitle=On a Risk Model with Surplus-dependent Premium and Tax Rates&title=Methodology and Computing in Applied Probability&issn=13875841&date=2010-10-21& spage=1&authors=Eric C. K. Cheung, David Landriaulten_US
dc.identifier.emailCheung, ECK: eckc@hku.hken_HK
dc.identifier.authorityCheung, ECK=rp01423en_HK
dc.description.naturepublished_or_final_versionen_US
dc.identifier.doi10.1007/s11009-010-9197-4en_HK
dc.identifier.scopuseid_2-s2.0-84859759749en_HK
dc.identifier.hkuros185998en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-84859759749&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume14en_HK
dc.identifier.issue2en_HK
dc.identifier.spage233en_HK
dc.identifier.epage251en_HK
dc.identifier.eissn1573-7713en_US
dc.identifier.isiWOS:000302812200003-
dc.publisher.placeNetherlandsen_HK
dc.description.otherSpringer Open Choice, 21 Feb 2012en_US
dc.identifier.scopusauthoridCheung, ECK=24461272100en_HK
dc.identifier.scopusauthoridLandriault, D=23479800100en_HK
dc.identifier.citeulike8121609-

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