A proxy signature scheme allows an entity to delegate its signing capability to another entity (proxy) in such a way that the proxy can sign messages on behalf of the delegator. Proxy signatures have found numerous practical applications such as distributed systems, mobile agent applications, etc. Recently, Xu, Zhang and Feng proposed the first formal models of identity based proxy signature. Unfortunately, their model does not capture the notion of adaptively chosen message and chosen identity attacker in identity based system. In this paper, we redefine the security models of identity based proxy signature to capture the most stringent attacks against adaptively chosen message and chosen identity attacker. We also propose a new provably secure identity basad proxy signature scheme whose security is based on the hardness of Computational Diffie-Hellman problem in the random oracle model.