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关于带常数利率与盈余相依型loss-carry-forward税收系统的Cramr-Lundberg风险模型(英文)

ON THE CRAMR-LUNDBERG RISK MODEL WITH A CONSTANT FORCE OF INTEREST AND SURPLUS-DEPENDENT LOSS-CARRY-FORWARD TAX STRUCTURE
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摘要 本文研究了带常数利率和盈余相依型loss-carry-forward税收系统的Cramr-Lundberg风险模型.利用无穷小分析方法及该过程具有的的强马氏性,得出了保险公司从开始运营到破产期间税收折现总额的数学期望表达式.作为例子,本文给出了指数分布索赔假定下该税收折现函数的具体表达式. In this paper we consider the Cram＇er-Lundberg risk model including a constant force of interest and surplus-dependent loss-carry-forward tax structure.We derive a formula for the expected cumulated discounted tax payments until ruin.For exponentially distributed claim sizes,explicit expression for the expected cumulated discounted tax payments until ruin is also given.
作者 王文元 张爱丽 王琴艳 胡亦钧
机构地区 武汉大学数学与统计学院 江西师范大学数学与信息科学学院
出处 《数学杂志》 CSCD 北大核心 2012年第3期447-454,共8页 Journal of Mathematics
基金 Supported in part by the National Natural Science Foundation of China(10971157) the Fundamental Research Funds for the Central Universities of China(201274360)
关键词 Cramr-Lundberg风险模型 税收折现函数 破产 Crame＇r-Lundberg risk model expected cumulated discounted tax payments ruin
分类号 O211.6 [理学—概率论与数理统计]
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参考文献15

  • 1Albrecher H, Badescu A, Landriault D. On the dual risk model with taxation [J]. Insurance: Math- ematics and Economics, 2008, 42: 1086-1094.
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数学杂志
2012年 第3期

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