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...

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Bibliographic Details
Published in:Applied Mathematics-A Journal of Chinese Universities 2015-06, Vol.30 (2), p.187-196
Main Authors: Peng, Xing-chun, Wang, Wen-yuan, 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 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.
ISSN:1005-1031
1993-0445
DOI:10.1007/s11766-015-3196-8