On capital injections and dividends with tax in a classical risk model

DOI10.1016/j.insmatheco.2016.08.004zbMath1371.91108OpenAlexW2519930798MaRDI QIDQ2374104

Hanspeter Schmidli

Publication date: 14 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.08.004

zbMATH Keywords

Hamilton-Jacobi-Bellman equationcapital injectionsbarrier strategydividendstax

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process ⋮ Optimal dividend policy in an insurance company with contagious arrivals of claims ⋮ Linking dividends and capital injections – a probabilistic approach ⋮ Optimal capital injections and dividends with tax in a risk model in discrete time ⋮ On optimal dividends with exponential and linear penalty payments ⋮ Dividends with tax and capital injection in a spectrally negative Lévy risk model ⋮ Optimal dividends with an affine penalty

Cites Work

• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Extended Gerber-Shiu functions in a risk model with interest
• Lundberg's risk process with tax
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• On capital injections and dividends with tax in a diffusion approximation
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