马尔可夫到达下的税收风险模型

The Markov Arrival Risk Model with Tax Payments

本文主要考虑马氏到达下的税收风险模型,根据无税收下的马氏到达风险模型的破产概率得到了马氏到达下税收风险模型的生存概率和累积税收折现均值满足的积分微分方程,并用迭代方法求得了积分微分方程的解析解.

The paper consider the Markov arrival risk model with tax payments.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 arrival risk model without tax are derived.The analytical solutions of the systems of integro-differential equations are also obtained by the iteration method.