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On the Markov-dependent risk model with tax

On the Markov-dependent risk model with tax In this paper we consider the Markov-dependent risk model with tax payments in which the claim occurrence, the claim amount as well as the tax rate are controlled by an irreducible discrete-time Markov chain. Systems of integro-differential equations satisfied by the expected discounted tax payments and the non-ruin probability in terms of the ruin probabilities under the Markov-dependent risk model without tax are established. The analytical solutions of the systems of integro-differential equations are also obtained by the iteration method. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics-A Journal of Chinese Universities Springer Journals

On the Markov-dependent risk model with tax

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Publisher
Springer Journals
Copyright
Copyright © 2015 by Editorial Committee of Applied Mathematics-A Journal of Chinese Universities and Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Mathematics, general; Applications of Mathematics
ISSN
1005-1031
eISSN
1993-0445
DOI
10.1007/s11766-015-3196-8
Publisher site
See Article on Publisher Site

Abstract

In this paper we consider the Markov-dependent risk model with tax payments in which the claim occurrence, the claim amount as well as the tax rate are controlled by an irreducible discrete-time Markov chain. Systems of integro-differential equations satisfied by the expected discounted tax payments and the non-ruin probability in terms of the ruin probabilities under the Markov-dependent risk model without tax are established. The analytical solutions of the systems of integro-differential equations are also obtained by the iteration method.

Journal

Applied Mathematics-A Journal of Chinese Universities – Springer Journals

Published: Jun 9, 2015

References

  • Ruin Probabilities
    Asmussen, S
  • Analytical and numerical methods for Volterra equations
    Linz, P