1. Department of Statistics, Wuhan University of Technology, Wuhan 430070, China 2. School of Mathematical Sciences, Xiamen University, Xiamen 361005, China 3. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China
Abstract:
In this paper we consider the Markov-dependent risk model with tax payments in which the claim occurrence, the claim amount as well as the tax rate are controlled by an irreducible discrete-time Markov chainSystems of integro-differential equations satisfied by the expected discounted tax payments and the non-ruin probability in terms of the ruin probabilities under the Markov-dependent risk model without tax are establishedThe analytical solutions of the systems of integro-differential equations are also obtained by the iteration method.