英文标题：
《Optimal loss-carry-forward taxation for L\\\'{e}vy risk processes stopped
  at general draw-down time》
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作者：
Wenyuan Wang, Zhimin Zhang
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最新提交年份：
2019
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英文摘要：
  Motivated by Kyprianou and Zhou (2009), Wang and Hu (2012), Avram et al. (2017), Li et al. (2017) 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 L\\\'{e}vy 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 together with the optimal tax strategy is derived, and some numerical examples are also provided.
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中文摘要：
受Kyprianou和Zhou（2009）、Wang和Hu（2012）、Avram et al.（2017）、Li et al.（2017）和Wang和Zhou（2018）的激励，我们在本文中考虑了最大化保险公司的预期累计贴现税款的问题，其储备过程（扣除税前）演变为一个谱负L{e}vy过程，通常排除负从属或确定性漂移。根据Kyprianou和Zhou（2009）引入的非常普遍的亏损结转税制度征收税款。为了在税收优化和偿付能力之间取得平衡，我们考虑了一个有趣的修正目标函数，该函数考虑了公司在一般提取时间之前的预期累计贴现税款，而不是在经典破产时间之前。推导了最优税收返还函数和最优税收策略，并给出了一些数值例子。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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