ON THE JOINT DISTRIBUTION OF TAX PAYMENTS AND CAPITAL INJECTIONS FOR A LEVY RISK MODEL

被引：2

作者：

Albrecher, Hansjorg ^{[1
,2
]}

Ivanovs, Jevgenijs ^{[3
]}

机构：

[1] Univ Lausanne, Batiment Extranef, CH-1015 Lausanne, Switzerland

[2] Swiss Finance Inst, Quartier UNIL Dorigny, Batiment Extranef, CH-1015 Lausanne, Switzerland

[3] Aarhus Univ, Ny Munkegade 118, DK-8000 Aarhus C, Denmark

来源：

PROBABILITY AND MATHEMATICAL STATISTICS-POLAND | 2017年 / 37卷 / 02期

基金：

瑞士国家科学基金会;

关键词：

Two-sided reflection; finite buffer; dividends; net present value; scale functions;

D O I：

10.19195/0208-4147.37.2.1

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：

We study the joint distribution of tax payments according to a loss-carry-forward scheme and capital injections in a Levy risk model, and provide a transparent expression for the corresponding transform in terms of the scale function. This allows us to identify the net present value of capital injections in such a model, complementing the one for tax found in our paper [3]. We also apply the result to the situation when injections may be stopped at a constant rate, and in this case an explicit formula for the net present value of taxes and injections is given.

引用

页码：219 / 227

页数：9

共 15 条

[1]

Albrecher H., 2014, Stoch. Syst, V4, P157, DOI DOI 10.1214/12-SSY079

[2]

Albrecher H., SCAND ACTUA IN PRESS

[3]

Albrecher H., 2007, Bltter Der DGVFM, V28, P13, DOI [https://doi.org/10.1007/s11857-007-0004-4, DOI 10.1007/S11857-007-0004-4, 10.1007/s11857-007-0004-4]

[4] The tax identity in risk theory - a simple proof and an extension [J].