The tax identity in risk theory - a simple proof and an extension

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31 Citaties (Scopus)

Uittreksel

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.
Originele taal-2Engels
Pagina's (van-tot)304-306
TijdschriftInsurance: Mathematics and Economics
Volume44
Nummer van het tijdschrift2
DOI's
StatusGepubliceerd - 2009

Vingerafdruk

Risk Theory
Tax
Risk Process
Queueing
Linking
Dependent
Arbitrary
Risk theory
Model
Risk process
Tax rate
Surplus

Citeer dit

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title = "The tax identity in risk theory - a simple proof and an extension",
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author = "H. Albrecher and S.C. Borst and O.J. Boxma and J.A.C. Resing",
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The tax identity in risk theory - a simple proof and an extension. / Albrecher, H.; Borst, S.C.; Boxma, O.J.; Resing, J.A.C.

In: Insurance: Mathematics and Economics, Vol. 44, Nr. 2, 2009, blz. 304-306.

Onderzoeksoutput: Bijdrage aan tijdschriftTijdschriftartikelAcademicpeer review

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

VL - 44

SP - 304

EP - 306

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

SN - 0167-6687

IS - 2

ER -