TY - JOUR
T1 - The tax identity in risk theory - a simple proof and an extension
AU - Albrecher, H.
AU - Borst, S.C.
AU - Boxma, O.J.
AU - Resing, J.A.C.
PY - 2009
Y1 - 2009
N2 - By linking queueing concepts with risk theory, we give a simple and insightful proof of the tax identity in the Cramér–Lundberg model that was recently derived in Albrecher & Hipp [Albrecher, H., Hipp, C., 2007. Lundberg’s risk process with tax. Blätter der DGVFM 28 (1), 13–28], and extend the identity to arbitrary surplus-dependent tax rates.
AB - By linking queueing concepts with risk theory, we give a simple and insightful proof of the tax identity in the Cramér–Lundberg model that was recently derived in Albrecher & Hipp [Albrecher, H., Hipp, C., 2007. Lundberg’s risk process with tax. Blätter der DGVFM 28 (1), 13–28], and extend the identity to arbitrary surplus-dependent tax rates.
U2 - 10.1016/j.insmatheco.2008.05.001
DO - 10.1016/j.insmatheco.2008.05.001
M3 - Article
SN - 0167-6687
VL - 44
SP - 304
EP - 306
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
IS - 2
ER -