We are paying taxes, although the tax rate is rather low (7-8% eyeballing it, though it might be taxes on operating income rather than operating profits, in which case the tax rate is even lower). Move to a more typical (for the modern day - I know next to nothing about the medieval tax structure) with a flat corporate tax rate of 25-40% (depending on how friendly the government is to businesses) on operating profits (total income from operations minus the costs of running the operations - many countries also tax interest, so you could add that in too). Leaving out interest, it should require much of a change to the code to shift the tax structure.
An idea I've been playing around with to fix the income problem is to introduce a "minimum wage" for girls. Currently, so can pay your free girls next to nothing, and they never complain. Slave girls you take everything from (as is appropriate, IMHO), but they earn less from customers than free girls, which makes no sense to me. Why would a customer care if he's sleeping with a slave or a free girl? In any case, it becomes significantly more profitable to run an operation with entirely free girls whom you are extracting >90% from. Having a maximum house take of 60% seems reasonable, and girls should be asking for raises as they become more skilled. Slaves then become more profitable than free girls.
Next up is to fix the pricing of slaves. Currently, they are absurdly cheap. Assuming they will work half time in the brothel, attracting an average of 8 customers per week, and an expected 10% return per week, a fully trained slave should sell for about 7000 according to my back-of-the-napkin calculations. I don't yet have a formula for taking training costs into account to find the price of a less than fully trained slave, but I could whip something up if I knew a) the cost associated with training a slave for 1 week, b) the average amount of increase in a each stat per training period (with 0, 1, 2, 3, and 4 partners), and c) the cost of accommodations.
Because there are no costs associated with acquiring free girls (assuming you meet them on the street, not kidnap them), they are still more profitable than slaves. Under the same assumptions (plus a house take of 60%), a fully trained free girl is worth 4800 (lower as the girl's take gets higher) which you currently don't have to pay. To balance them out, there should be some sort of hiring costs put in place for free girls.
That could be injecting too much realism to the game, though, so I will understand if no one wants to go down that road.