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

DOI10.1090/TPMS/1043MaRDI QIDQ4686499zbMATH OpenOpenAlexFDO

Authors 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

barrier strategycapital injectionsdividendsHamilton-Jacobi-Bellman equationLévy risk modelperturbed risk modeltax

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

• Analytic properties of infinite-horizon survival probability in a risk model with additional funds
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
• scientific article; zbMATH DE number 3307211 (Why is no real title available?)
• Linking dividends and capital injections -- a probabilistic approach
• On capital injections and dividends with tax in a classical risk model
• On capital injections and dividends with tax in a diffusion approximation
• On the optimal dividend problem for a spectrally negative Lévy process
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Ruin probabilities
• Ruin probabilities. Smoothness, bounds, supermartingale approach
• Stochastic optimization in insurance. A dynamic programming approach

Cited in

(16)

• More for less insurance model: an alternative to (re)insurance
• On the risk of ruin in a SIS type epidemic
• Dividend and capital injection optimization with transaction cost for Lévy risk processes
• 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
• On a spectrally negative Lévy risk process with periodic dividends and capital injections
• Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model
• On capital injections and dividends with tax in a classical risk model
• Optimal proportional reinsurance and investment for stochastic factor models
• Power identities for Lévy risk models under taxation and capital injections
• On capital injections and dividends with tax in a diffusion approximation
• Linking dividends and capital injections -- a probabilistic approach
• Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
• scientific article; zbMATH DE number 7113161 (Why is no real title available?)
• Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business
• Optimal reinsurance and investment in a diffusion model

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