On the Markov-dependent risk model with tax

作     者：PENG Xing-chun WANG Wen-yuan HU Yi-jun 

作者机构：Department of Statistics Wuhan University of Technology School of Mathematical Sciences Xiamen University School of Mathematics and Statistics Wuhan University 

出 版 物：《Applied Mathematics(A Journal of Chinese Universities)》 (高校应用数学学报（英文版）（B辑）)

年 卷 期：2015年第30卷第2期

页      面：187-196页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 07[理学] 020203[经济学-财政学（含∶税收学）] 070104[理学-应用数学] 0701[理学-数学] 

基　　金：Supported by the National Natural Science Foundation of China(11401498) the Fundamental Research Funds for the Central Universities(WUT:2015IVA066) 

主　　题：Compound Poisson risk model Markov-dependent risk model non-ruin probability expecteddiscounted tax payments 

摘      要：In this paper we consider the Markov-dependent risk model with tax payments in which the claim occurrence, the claim amount as well as the tax rate are controlled by an irreducible discrete-time Markov chain. 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-dependent risk model without tax are established. The analytical solutions of the systems of integro-differential equations are also obtained by the iteration method.