A TIME-HOMOGENEOUS DIFFUSION MODEL WITH TAX

作者：Li Bin^*; Tang Qihe; Zhou Xiaowen

来源：Journal of Applied Probability, 2013, 50(1): 195-207.

• Diffusion
• hitting time
• Laplace transform
• Markov property
• tax
• two-sided exit problem

We study the two-sided exit problem of a time-homogeneous diffusion process with tax payments of loss-carry-forward type and obtain explicit formulae for the Laplace transforms associated with the two-sided exit problem. The expected present value of tax payments until default, the two-sided exit probabilities, and, hence, the nondefault probability with the default threshold equal to the lower bound are solved as immediate corollaries. A sufficient and necessary condition for the tax identity in ruin theory is discovered.

• 出版日期2013-3