The tax identity in risk theory - a simple proof and an extension

By linking queueing concepts with risk theory, we give a simple and insightful proof of the tax identity in the Cramer-Lundberg model that was recently derived in Albrecher & Hipp {[}Albrecher, H., Hipp, C., 2007. Lundberg's risk process with tax. Blatter der DGVFM 28 (1), 13-28], and extend the identity to arbitrary surplus-dependent tax rates. (C) 2008 Elsevier B.V. All rights reserved.