On maximizing expected discounted taxation in a risk process with interest

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• 作者：Ruixing Ming^a ; Wenyuan Wang^b ; ^{wwywang@xmu.edu.cn} ; Yijun Hu^c
• 关键词：primary ; 60J60 ; secondary ; 60K15
• 刊名：Statistics & Probability Letters
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：122
• 期：Complete
• 页码：128-140
• 全文大小：463 K
• 卷排序：122

文摘

In risk theory, the problem of maximizing the expected cumulated discounted loss-carry-forward tax payments until ruin is a widely discussed topic since the taxation system was proposed by Albrecher and Hipp (2007). In the present paper, we discuss this maximization problem in the Cramér–Lundberg risk model including a constant force of interest. The optimal taxation return function is identified as the classical solution of the associated Hamilton–Jacobi–Bellman equation and the optimal taxation strategy in this risk model with interest is derived, which is of band type. Finally, an example is constructed for exponential claim sizes, in which closed-form expression for the optimal taxation return function is given.