英文标题：
《The equivalence of two tax processes》
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作者：
Dalal Al Ghanim, Ronnie Loeffen, Alex Watson
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最新提交年份：
2019
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英文摘要：
We introduce two models of taxation, the latent and natural tax processes, which have both been used to represent loss-carry-forward taxation on the capital of an insurance company. In the natural tax process, the tax rate is a function of the current level of capital, whereas in the latent tax process, the tax rate is a function of the capital that would have resulted if no tax had been paid. Whereas up to now these two types of tax processes have been treated separately, we show that, in fact, they are essentially equivalent. This allows a unified treatment, translating results from one model to the other. Significantly, we solve the question of existence and uniqueness for the natural tax process, which is defined via an integral equation. Our results clarify the existing literature on processes with tax.
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中文摘要：
我们介绍了两种税收模型，潜在税收过程和自然税收过程，这两种模型都被用来表示保险公司资本的损失结转税收。在自然税收过程中，税率是当前资本水平的函数，而在潜在税收过程中，税率是如果没有缴纳税收就会产生的资本的函数。虽然到目前为止，这两种类型的税收过程已经被分开处理，但我们表明，事实上，它们在本质上是等价的。这允许统一处理，将结果从一个模型转换到另一个模型。重要的是，我们解决了通过积分方程定义的自然税收过程的存在性和唯一性问题。我们的结果澄清了有关税收过程的现有文献。
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分类信息：

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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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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