On two actuarial quantities for the compound Poisson risk model with tax and a threshold dividend strategy

In this paper, we consider a compound Poisson risk model with taxes paid according to a loss-carry-forward system and dividends paid under a threshold strategy. First, the closed-form expression of the probability function for the total number of taxation periods over the lifetime of the surplus pro...

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Bibliographic Details
Published in:Applied Mathematics-A Journal of Chinese Universities 2013-03, Vol.28 (1), p.27-39
Main Authors: Wang, Wen-yuan, Xiao, Li-qun, Ming, Rui-xing, Hu, Yi-jun
Format: Article
Language:English
Subjects:
Applications of Mathematics
Mathematics
Mathematics and Statistics
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Summary:In this paper, we consider a compound Poisson risk model with taxes paid according to a loss-carry-forward system and dividends paid under a threshold strategy. First, the closed-form expression of the probability function for the total number of taxation periods over the lifetime of the surplus process is derived. Second, analytical expression of the expected accumulated discounted dividends paid between two consecutive taxation periods is provided. In addition, explicit expressions are also given for the exponential individual claims.
ISSN:1005-1031
1993-0445
DOI:10.1007/s11766-013-2811-9