Corpus ID: 204788922

Optimal implementation delay of taxation with trade-off for L\'{e}vy risk Processes

@article{Wang2019OptimalID,
  title={Optimal implementation delay of taxation with trade-off for L\'\{e\}vy risk Processes},
  author={Wenyuan Wang and X. Wu and Cheng Chi},
  journal={arXiv: General Finance},
  year={2019}
}
  • Wenyuan Wang, X. Wu, Cheng Chi
  • Published 2019
  • Economics
  • arXiv: General Finance
  • In this paper we consider two problems on optimal implementation delay of taxation with trade-off for spectrally negative Levy insurance risk processes. In the first case, we assume that an insurance company starts to pay tax when its surplus reaches a certain level $b$ and at the termination time of the business there is a terminal value incurred to the company. The total expected discounted value of tax payments plus the terminal value is maximized to obtain the optimal implementation level… CONTINUE READING

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