CAJ | 학술논문

本文研究了带常数利率和盈余相依型loss-carry-forward税收系统的Cramér-Lundberg风险模型.利用无穷小分析方法及该过程具有的的强马氏性,得出了保险公司从开始运营到破产期间税收折现总额的数学期望表达式.作为例子,本文给出了指数分布索赔假定下该税收折现函数的具体表达式.
본문연구료대상수리솔화영여상의형loss-carry-forward세수계통적Cramér-Lundberg풍험모형.이용무궁소분석방법급해과정구유적적강마씨성,득출료보험공사종개시운영도파산기간세수절현총액적수학기망표체식.작위례자,본문급출료지수분포색배가정하해세수절현함수적구체표체식.
In this paper we consider the Cramér-Lundberg risk model including a constant force of interest and surplus-dependent loss-carry-forward tax structure.We derive a formula for the expected cumulated discounted tax payments until ruin.For exponentially distributed claim sizes,explicit expression for the expected cumulated discounted tax payments until ruin is also given.