Spring 2009 Thursday, February 26   Speaker: Xuemiao Hao Department of Statistics and Actuarial Science The University of Iowa Title: "On the Impact of Periodic Tax Payments on Asymptotic Ruin Probabilities of the Levy Insurance Model " Abstract: One way to generalize the classical Lundberg model in insurance mathematics is to consider a spectrally negative Levy process.  In the last decade, this Levy insurance model has attracted a lot of research interest. Recently, Albrecher and his coauthors have published a series of papers on the ruin probability of the Levy insurance model under the so-called loss-carry-forward taxation, meaning that taxes are paid at a certain fixed rate immediately when the surplus of the company is at a running maximum. In our research we assume periodic taxation under which the company pays tax at a fixed rate on its net income during each period. We derive explicit asymptotic relations for the ruin probability in the most general Levy insurance model, in which the Levy measure has a subexponential tail, a convolution-equivalent tail, or an exponential-like tail.

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