Journal of University of Science and Technology of China ›› 2018, Vol. 48 ›› Issue (11): 877-884.DOI: 10.3969/j.issn.0253-2778.2018.11.002

• Original Paper • Previous Articles     Next Articles

The threshold dividends in the Cramr-Lundberg risk model with loss-carry forward tax payments

  

  1. LIU Zhang,2, MA Yue3, HU Yijun2, XIAO Liqun4
  • Received:2017-12-20 Revised:2018-05-07 Accepted:2018-05-07 Online:2018-11-30 Published:2018-05-07
  • Contact: LIU Zhang
  • About author:LIU Zhang (corresponding author), male, born in 1981, PhD/lecturer. Research field: Financial and actuarial mathematics. E-mail: liuzhang1006@163.com
  • Supported by:
    Supported by the National Natural Science Foundation of China (11771343, 11601097) and the Science and Technology Research Project of Jiangxi Provincial Education Department (GJJ180201,GJJ150401).

Abstract: A classical Cramr-Lundberg risk model with a threshold dividend strategy and loss-carry forward tax payments was studied. For this model, the closed-form expressions for the expected accumulated discounted dividends until ultimate ruin was derived and the explicit solution was presented when the individual claim amount follows an exponential distribution. Finally, numerical

Key words: Cramr-Lundberg risk model, expected discounted dividends, threshold dividend strategy, loss-carry forward taxes

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