scholarly journals Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time

2019 ◽  
Vol 51 (03) ◽  
pp. 865-897 ◽  
Author(s):  
Wenyuan Wang ◽  
Zhimin Zhang
Keyword(s):  
Objective Function ◽  
Insurance Company ◽  
Tax System ◽  
Ruin Time ◽  
Return Function ◽  
Numerical Examples ◽  
Optimal Tax ◽  
Spectrally Negative Lévy Process ◽  
Tax Payments ◽  
Risk Processes

AbstractMotivated by Avram, Vu and Zhou (2017), Kyprianou and Zhou (2009), Li, Vu and Zhou (2017), Wang and Hu (2012), and Wang and Zhou (2018), we consider in this paper the problem of maximizing the expected accumulated discounted tax payments of an insurance company, whose reserve process (before taxes are deducted) evolves as a spectrally negative Lévy process with the usual exclusion of negative subordinator or deterministic drift. Tax payments are collected according to the very general loss-carry-forward tax system introduced in Kyprianou and Zhou (2009). To achieve a balance between taxation optimization and solvency, we consider an interesting modified objective function by considering the expected accumulated discounted tax payments of the company until the general draw-down time, instead of until the classical ruin time. The optimal tax return function and the optimal tax strategy are derived, and some numerical examples are also provided.

scholarly journals Threshold strategies for risk processes and their relation to queueing theory

2011 ◽  
Vol 48 (A) ◽  
pp. 29-38 ◽  
Author(s):  
Onno J. Boxma ◽  
Andreas Löpker ◽  
David Perry
Keyword(s):  
Queueing Theory ◽  
Ruin Probability ◽  
Risk Model ◽  
Insurance Company ◽  
Threshold Strategy ◽  
Ruin Time ◽  
Risk Processes

We consider a risk model with threshold strategy, where the insurance company pays off a certain percentage of the income as dividend whenever the current surplus is larger than a given threshold. We investigate the ruin time, ruin probability, and the total dividend, using methods and results from queueing theory.

scholarly journals Threshold strategies for risk processes and their relation to queueing theory

2011 ◽  
Vol 48 (A) ◽  
pp. 29-38 ◽  
Author(s):  
Onno J. Boxma ◽  
Andreas Löpker ◽  
David Perry
Keyword(s):  
Queueing Theory ◽  
Ruin Probability ◽  
Risk Model ◽  
Insurance Company ◽  
Threshold Strategy ◽  
Ruin Time ◽  
Risk Processes

We consider a risk model with threshold strategy, where the insurance company pays off a certain percentage of the income as dividend whenever the current surplus is larger than a given threshold. We investigate the ruin time, ruin probability, and the total dividend, using methods and results from queueing theory.

WHAT IS AN "OPTIMAL" TAX SYSTEM?

1996 ◽  
Vol 49 (1) ◽  
pp. 117-133 ◽  
Author(s):  
JAMES ALM
Keyword(s):  
Tax System ◽  
Optimal Tax

scholarly journals Optimal Dividend and Capital Injection Problem with Transaction Cost and Salvage Value: The Case of Excess-of-Loss Reinsurance Based on the Symmetry of Risk Information

Symmetry ◽  
2018 ◽  
Vol 10 (7) ◽  
pp. 276 ◽  
Author(s):  
Qingyou Yan ◽  
Le Yang ◽  
Tomas Baležentis ◽  
Dalia Streimikiene ◽  
Chao Qin
Keyword(s):  
Transaction Cost ◽  
Risk Information ◽  
Insurance Company ◽  
Optimal Control Strategy ◽  
Ruin Time ◽  
Discounted Cost ◽  
Capital Injection ◽  
Surplus Process ◽  
Optimal Dividend ◽  
A Company

This paper considers the optimal dividend and capital injection problem for an insurance company, which controls the risk exposure by both the excess-of-loss reinsurance and capital injection based on the symmetry of risk information. Besides the proportional transaction cost, we also incorporate the fixed transaction cost incurred by capital injection and the salvage value of a company at the ruin time in order to make the surplus process more realistic. The main goal is to maximize the expected sum of the discounted salvage value and the discounted cumulative dividends except for the discounted cost of capital injection until the ruin time. By considering whether there is capital injection in the surplus process, we construct two instances of suboptimal models and then solve for the corresponding solution in each model. Lastly, we consider the optimal control strategy for the general model without any restriction on the capital injection or the surplus process.

scholarly journals Unified Reporting on Personal Income Tax and Unified Social Tax: Simplification or Additional Complication of Conditions for Business Operation?

2020 ◽  
pp. 48-54
Author(s):  
Andrii Boichuk ◽  
Keyword(s):  
Income Tax ◽  
Personal Income ◽  
Effective Control ◽  
Personal Income Tax ◽  
Tax System ◽  
Doing Business ◽  
Tax Simplification ◽  
Processing Information ◽  
Tax Payments ◽  
The Military

In the context of the reform of the tax system and the accounting and reporting system, as well as the integration of Ukraine with the European Community, the issue of simplifying the conditions for doing business, building an effective and understandable system for administering taxes and other duties acquire special significance. One of the important aspects of reforming the tax system of Ukraine is the introduction of unified reporting on personal income tax and unified social tax. The purpose of the article is to identify the positive and negative aspects of the process of reforming the reporting on personal income tax and unified social tax and scientifically substantiate the structure of such unified reporting. The existing forms of reporting on personal income tax and unified social tax, proposed by government agencies, were analyzed. In addition, the unified reporting models from these taxes proposed by scientists were critically assessed by the author. It was found that such indicators as the presence of Ukrainian citizenship, gender and the sign of a new job, do not participate in the process of monitoring the completeness of tax payments. Therefore, it is impractical to fill in these indicators for each employee, and it is enough to submit the total number and structure of these indicators on the reporting title page. The opposite situation exists with the military tax, which is advisable to display for each employee in the reporting for more effective control over its accrual and payment. The author has improved the structure of unified reporting on personal income tax and unified social tax, which will reduce the time spent on filling out such reports, increase the efficiency of control by the fiscal authorities and simplify the process of processing unified reporting data. The main advantages of the proposed form of unified reporting are: significant reduction in the number of indicators; simplicity and compactness; personalized registration of military tax; ease of filling and processing information.

scholarly journals Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes

2016 ◽  
Vol 53 (2) ◽  
pp. 572-584 ◽  
Author(s):  
Erik J. Baurdoux ◽  
Juan Carlos Pardo ◽  
José Luis Pérez ◽  
Jean-François Renaud
Keyword(s):  
Risk Process ◽  
Levy Processes ◽  
Insurance Company ◽  
Excursion Theory ◽  
Insurance Risk ◽  
Scale Functions ◽  
Surplus Process ◽  
Parisian Ruin ◽  
Risk Processes ◽  
Spectrally Negative Lévy Processes

Abstract Inspired by the works of Landriault et al. (2011), (2014), we study the Gerber–Shiu distribution at Parisian ruin with exponential implementation delays for a spectrally negative Lévy insurance risk process. To be more specific, we study the so-called Gerber–Shiu distribution for a ruin model where at each time the surplus process goes negative, an independent exponential clock is started. If the clock rings before the surplus becomes positive again then the insurance company is ruined. Our methodology uses excursion theory for spectrally negative Lévy processes and relies on the theory of so-called scale functions. In particular, we extend the recent results of Landriault et al. (2011), (2014).

General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes

2018 ◽  
Vol 55 (2) ◽  
pp. 513-542 ◽  
Author(s):  
Wenyuan Wang ◽  
Xiaowen Zhou
Keyword(s):  
Value Function ◽  
Small Class ◽  
General Version ◽  
Ruin Time ◽  
Underlying Process ◽  
Optimal Dividend ◽  
Running Maximum ◽  
Admissible Strategies ◽  
Risk Processes ◽  
Spectrally Negative Lévy Processes

Abstract For spectrally negative Lévy risk processes we consider a general version of de Finetti's optimal dividend problem in which the ruin time is replaced with a general drawdown time from the running maximum in its value function. We identify a condition under which a barrier dividend strategy is optimal among all admissible strategies if the underlying process does not belong to a small class of compound Poisson processes with drift, for which the take-the-money-and-run dividend strategy is optimal. It generalizes the previous results on dividend optimization from ruin time based to drawdown time based. The associated drawdown functions are discussed in detail for examples of spectrally negative Lévy processes.

scholarly journals Spectrally Negative Lévy Processes Perturbed by Functionals of their Running Supremum

2012 ◽  
Vol 49 (4) ◽  
pp. 1005-1014 ◽  
Author(s):  
Andreas E. Kyprianou ◽  
Curdin Ott
Keyword(s):  
General Class ◽  
Lévy Process ◽  
Levy Process ◽  
Spectrally Negative Lévy Process ◽  
Rate Functions ◽  
Current Value ◽  
Insurance Model ◽  
Tax Payments ◽  
Risk Insurance ◽  
Spectrally Negative Lévy Processes

In the setting of the classical Cramér–Lundberg risk insurance model, Albrecher and Hipp (2007) introduced the idea of tax payments. More precisely, if X = {Xt: t≥ 0} represents the Cramér–Lundberg process and, for all t≥ 0, St=sup_{s≤ t}Xs, then Albrecher and Hipp studied Xt - γ St,t≥ 0, where γ∈(0,1) is the rate at which tax is paid. This model has been generalised to the setting that X is a spectrally negative Lévy process by Albrecher, Renaud and Zhou (2008). Finally, Kyprianou and Zhou (2009) extended this model further by allowing the rate at which tax is paid with respect to the process S = {St: t≥ 0} to vary as a function of the current value of S. Specifically, they considered the so-called perturbed spectrally negative Lévy process, Ut:=Xt -∫(0,t]γ(S_u)dSu,t≥ 0, under the assumptions that γ:[0,∞)→ [0,1) and ∫0∞ (1-γ(s))d s =∞. In this article we show that a number of the identities in Kyprianou and Zhou (2009) are still valid for a much more general class of rate functions γ:[0,∞)→∝. Moreover, we show that, with appropriately chosen γ, the perturbed process can pass continuously (i.e. creep) into (-∞, 0) in two different ways.

Clustering Algorithm Based on Probabilistic Dissimilarity

2009 ◽  
Vol 13 (4) ◽  
pp. 429-433
Author(s):  
Makito Yamashiro ◽  
◽  
Yasunori Endo ◽  
Yukihiro Hamasuna ◽  
Keyword(s):  
Objective Function ◽  
Clustering Algorithm ◽  
Optimal Solutions ◽  
Numerical Examples

The clustering algorithm we propose is based on probabilistic dissimilarity, which is formed by introducing the concept of probability into conventional dissimilarity. After defining probabilistic dissimilarity, we present examples of probabilistic dissimilarity functions. After considering an objective function with probabilistic dissimilarity. Furthermore, we construct a clustering algorithm probabilistic dissimilarity based using optimal solutions maximizing the objective function. Numerical examples verify the effectiveness of our algorithm.

Fuzzyc-Means Clustering for Data with Clusterwise Tolerance Based onL2- andL1-Regularization

2011 ◽  
Vol 15 (1) ◽  
pp. 68-75 ◽  
Author(s):  
Yukihiro Hamasuna ◽  
◽  
Yasunori Endo ◽  
Sadaaki Miyamoto ◽  
Keyword(s):  
Data Mining ◽  
Objective Function ◽  
Clustering Algorithms ◽  
Fuzzy Classification ◽  
Numerical Examples ◽  
Cluster Shape ◽  
Regularization Techniques ◽  
Single Objective

Detecting various kinds of cluster shape is an important problem in the field of clustering. In general, it is difficult to obtain clusters with different sizes or shapes by single-objective function. From that sense, we have proposed the concept of clusterwise tolerance and constructed clustering algorithms based on it. In the field of data mining, regularization techniques are used in order to derive significant classifiers. In this paper, we propose another concept of clusterwise tolerance from the viewpoint of regularization. Moreover, we construct clustering algorithms for data with clusterwise tolerance based onL2- andL1-regularization. After that, we describe fuzzy classification functions of proposed algorithms. Finally, we show the effectiveness of proposed algorithms through numerical examples.

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