On+the+Markov-dependent+risk+model+with+tax.pdfVIP

Appl. Math. J. Chinese Univ. 2015, 30(2): 187-196 On the Markov-dependent risk model with tax PENG Xing-chun1 WANG Wen-yuan2 HU Yi-jun3 Abstract. 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. §1 Introduction The classical compound Poisson risk model describes the surplus process of an insurance company by a stochastic process R = {R(t), t ≥ 0} with N (t) R(t) = u + ct − Xn , (1) n=1 where u ≥ 0 is the initial surplus, c 0 the premium rate, {N (t), t ≥ 0} a Poisson process (with intensity λ 0) denoting the number of claims up to time t, and {Xn , n ≥ 1} (representing the amounts of claims and independent of {N (t), t ≥ 0}) a sequence of independent and identically distributed nonnegative random variables. However, the independence assumed in (1) is too restrictive in many situations and hence several researchers looked at more general models where this assumption is relaxed in some way (Asmussen (2000)). Albrecher and Boxma (2005) presented a unified approach to the analysis of several popular mode