Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times

DOI10.1080/03461238.2021.1926315MaRDI QIDQ5083399zbMATHOpenAlexFDO

Authors Hanspeter Schmidli

Publication date 20 June 2022

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2021.1926315

zbMATH Keywords

Hamilton-Jacobi-Bellman equationbarrier strategyrenewal modelcapital injectionsoptimal dividend strategy

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

• A Review on Phase-type Distributions and their Use in Risk Theory
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Some Optimal Dividends Problems

Cited in

(2)

• Dividend barrier strategies in a renewal risk model with generalized Erlang interarrival times
• Optimal dividends under Erlang(2) inter-dividend decision times

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