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Asymptotic Ruin Probabilities of the Lévy Insurance Model under Periodic Taxation

Published online by Cambridge University Press:  09 August 2013

Xuemiao Hao  and
Qihe Tang
Xuemiao Hao
Affiliation:
Department of Statistics and Actuarial Science, The University of Iowa, 241 Schaeffer Hall, Iowa City, IA 52242, USA Warren Centre for Actuarial Studies and Research, University of Manitoba, 181 Freedman Crescent, Winnipeg, MB R3T 5V4, Canada, E-mail: hao@cc.umanitoba.ca
Qihe Tang
Affiliation:
Department of Statistics and Actuarial Science, The University of Iowa, 241 Schaeffer Hall, Iowa City, IA 52242, USA, E-mail: qtang@stat.uiowa.edu
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Abstract

Recently, Albrecher and his coauthors have published a series of papers on the ruin probability of the Lévy insurance model under the so-called loss-carry-forward taxation, meaning that taxes are paid at a certain fixed rate immediately when the surplus of the company is at a running maximum. In this paper we assume periodic taxation under which the company pays tax at a fixed rate on its net income during each period. We devote ourselves to deriving explicit asymptotic relations for the ruin probability in the most general Lévy insurance model in which the Lévy measure has a subexponential tail, a convolution-equivalent tail, or an exponential-like tail.

Keywords

Asymptoticsconvolution-equivalent tailLévy processperiodic taxationruin probabilitysubexponentiality
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 39 , Issue 2 , November 2009 , pp. 479 - 494
Copyright
Copyright © International Actuarial Association 2009

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