主  題：Levy insurance risk process with Poissonian taxation（帶泊松型稅收的Levy保險(xiǎn)風(fēng)險(xiǎn)過(guò)程）

內(nèi)容簡(jiǎn)介：  The idea of taxation in risk process was first introducedby Albrecher and Hipp (2007), who suggested that a certain proportion of the insurer's income is paid immediately as tax whenever the surplus process is at its   running maximum. In this talk, a spectrally negative Levy insurance risk model under taxation is studied.
Motivated by the concept of randomized observations proposed by Albrecher et al. (2011b),
we assume that the insurer's surplus level is only observed at a sequence of Poisson arrival times,
at which the event of ruin is checked and tax may be collected from the tax authority.
 In particular, if the observed (pretax) level exceeds the maximum of the previously observed (posttax) values,
 then a fraction of the excess will be paid as tax. Analytic expressions for the Gerber-Shiu expected discounted penalty function (Gerber and Shiu (1998))
and the expected discounted tax payments until ruin are derived.
The Cramer-Lundberg asymptotic formula is shown to hold true for the Gerber-Shiu function, and it differs from the case without tax by a multiplicative constant.
Delayed start of tax payments will be discussed as well.
We also take a look at the case where solvency is monitored continuously (while tax is still paid at Poissonian time points),
as many of the above results can be derived in a similar manner.

報(bào)告人：張志民    博士    副教授    碩導(dǎo)師

                  香港大學(xué)訪(fǎng)問(wèn)學(xué)者

時(shí)  間：11月26日（周三）14：:00

地  點(diǎn)：競(jìng)慧西樓402

舉辦單位：理學(xué)院  科研與研究生部