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

DOI10.1080/03461238.2021.1926315zbMATH Open1492.91313OpenAlexW3164809208MaRDI QIDQ5083399FDOQ5083399

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

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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)

Cites Work

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

Cited In (2)

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

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