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General tax structures for a Lévy insurance risk process under the Cramér condition

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  • Griffin, Philip S.

Abstract

We investigate the Lévy insurance risk model with tax under Cramér’s condition. A direct analogue of Cramér’s estimate for the probability of ruin in this model is obtained, together with the asymptotic distribution, conditional on ruin occurring, of several variables of interest related to ruin including the surplus immediately prior to ruin (undershoot) and shortfall at ruin (overshoot). We also compute the present value of all tax paid conditional on ruin occurring. The proof involves first transferring results from the model with no tax to the reflected process, and from there to the model with tax.

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  • Griffin, Philip S., 2020. "General tax structures for a Lévy insurance risk process under the Cramér condition," Stochastic Processes and their Applications, Elsevier, vol. 130(3), pages 1368-1387.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:3:p:1368-1387
    DOI: 10.1016/j.spa.2019.05.003
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    References listed on IDEAS

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    1. Dickson,David C. M., 2016. "Insurance Risk and Ruin," Cambridge Books, Cambridge University Press, number 9781107154605, September.
    2. Renaud, Jean-François, 2009. "The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 242-246, October.
    3. Bertoin, J. & Doney, R. A., 1994. "Cramer's estimate for Lévy processes," Statistics & Probability Letters, Elsevier, vol. 21(5), pages 363-365, December.
    4. Mijatović, Aleksandar & Pistorius, Martijn, 2015. "Buffer-overflows: Joint limit laws of undershoots and overshoots of reflected processes," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2937-2954.
    5. Albrecher, Hansjörg & Borst, Sem & Boxma, Onno & Resing, Jacques, 2009. "The tax identity in risk theory -- a simple proof and an extension," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 304-306, April.
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    Cited by:

    1. Griffin, Philip S., 2022. "Path decomposition of a reflected Lévy process on first passage over high levels," Stochastic Processes and their Applications, Elsevier, vol. 145(C), pages 29-47.

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