Dividends with tax and capital injection in a spectrally negative Lévy risk model

DOI10.1090/tpms/1043zbMath1416.91219OpenAlexW2895466071MaRDI QIDQ4686499

Hanspeter Schmidli

Publication date: 10 October 2018

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1043

zbMATH Keywords

Hamilton-Jacobi-Bellman equationperturbed risk modelcapital injectionsbarrier strategydividendstaxLévy risk model

Mathematics Subject Classification ID

Related Items (8)

On the risk of ruin in a SIS type epidemic ⋮ Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance ⋮ Optimal proportional reinsurance and investment for stochastic factor models ⋮ Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business ⋮ Optimal capital injections and dividends with tax in a risk model in discrete time ⋮ Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy ⋮ Optimal reinsurance and investment in a diffusion model ⋮ More for less insurance model: an alternative to (re)insurance

Cites Work

• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• On capital injections and dividends with tax in a classical risk model
• On the optimal dividend problem for a spectrally negative Lévy process
• Analytic properties of infinite-horizon survival probability in a risk model with additional funds
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• On capital injections and dividends with tax in a diffusion approximation
• Linking dividends and capital injections – a probabilistic approach
• Stochastic Optimization in Insurance
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