Czasopisma Naukowe w Sieci (CNS)

On the joint distribution of tax payments and capital injections for a Lévy risk model

  1. Hansjörg Albrechter
  2. Jevgienijs Ivanovs

Abstract

ON THE JOINT DISTRIBUTION OF TAX PAYMENTS AND CAPITAL INJECTIONS FOR A LÉVY RISK MODEL

 

We study the joint distribution of tax payments according toa loss-carry-forward scheme and capital injections in a Lévy risk model, andprovide a transparent expression for the corresponding transform in terms ofthe scale function. This allows us to identify the net present value of capitalinjections in such a model, complementing the one for tax found in ourpaper [3]. We also apply the result to the situation when injections may be stopped at a constant rate, and in this case an explicit formula for the netpresent value of taxes and injections is given.

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Probability and Mathematical Statistics

37, z. 2, 2017

Strony od 219 do 227

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