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.
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Supported by the National Natural Science Foundation of China (11401498) and the Fundamental Research Funds for the Central Universities (WUT:2015IVA066).
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Peng, Xc., Wang, Wy. & Hu, Yj. On the Markov-dependent risk model with tax. Appl. Math. J. Chin. Univ. 30, 187–196 (2015). https://doi.org/10.1007/s11766-015-3196-8
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DOI: https://doi.org/10.1007/s11766-015-3196-8