带有借款利息和税收的常利率风险模型(英文)

On a Constant Interest Risk Model with Debit Interest and Tax Payments

研究了带有借款利息和税收的常利率风险模型,按照loss-carried-forward方式交税.每当盈余处于盈利情形时,保险公司付一定比例的保险费和利息收入作为税金.每当公司资产非负时,保险公司以常利率r>0进行投资.每当盈余出现赤字时,公司可以以利率δ>0贷款来偿还索赔.得到了期望折现税收量的显式表达式.

A constant interest risk model with debit interest and tax payments according to a loss-carried-forward system is investigated.Whenever the surplus is in a portfolio situation,the insurer may pay a certain proportion of the premium and the interest income as tax payments.Whenever the surplus is nonnegative,the insurer will earn interest with force r＆gt;0.Whenever the surplus is below zero,the insurer could borrow money at a debit interest rateδ＆gt;0to pay claims.An explicit expression for the expected discounted tax payments until absolute ruin is derived.