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带有借款利息和税收的常利率风险模型（英文）
  • ISSN号：0465-7942
  • 期刊名称：《南开大学学报：自然科学版》
  • 时间：0
  • 分类：F812.42[经济管理—财政学]
  • 作者机构：[1]天津工业大学数学系,天津300387, [2]南开大学数学科学学院,天津300071
  • 相关基金：Supported by the National Natural Science Foundation of China（11226203,11226204,11171164,11271385）
作者： 王姗姗[1], 张春生[2]
关键词： 复合泊松过程, 常利率, 借款利息, 绝对破产, 期望折现税收, compound Poisson process, constant interest force, debit interest, absolute ruin, expected dis-counted tax payments
中文摘要：

研究了带有借款利息和税收的常利率风险模型,按照loss-carried-forward方式交税.每当盈余处于盈利情形时,保险公司付一定比例的保险费和利息收入作为税金.每当公司资产非负时,保险公司以常利率r〉0进行投资.每当盈余出现赤字时,公司可以以利率δ〉0贷款来偿还索赔.得到了期望折现税收量的显式表达式.

英文摘要：

A constant interest risk model with debit interest and tax payments according to a loss-carried-forward system is investigated.Whenever the surplus is in a portfolio situation,the insurer may pay a certain proportion of the premium and the interest income as tax payments.Whenever the surplus is nonnegative,the insurer will earn interest with force r＆gt;0.Whenever the surplus is below zero,the insurer could borrow money at a debit interest rateδ＆gt;0to pay claims.An explicit expression for the expected discounted tax payments until absolute ruin is derived.

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期刊信息
  • 《南开大学学报：自然科学版》
  • 中国科技核心期刊
  • 主管单位:教育部
  • 主办单位:南开大学
  • 主编：田建国
  • 地址：天津南开区卫津路94号
  • 邮编：300071
  • 邮箱：
  • 电话：022-23501681
  • 国际标准刊号：ISSN：0465-7942
  • 国内统一刊号：ISSN：12-1105/N
  • 邮发代号:6-174
  • 获奖情况:
  • 中国期刊方阵“双效”期刊
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,美国化学文摘（网络版）,德国数学文摘,英国动物学记录,中国中国科技核心期刊,中国北大核心期刊（2004版）,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）,中国北大核心期刊（2000版）
  • 被引量:4822