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

Hanspeter Schmidli

Insurance: Mathematics and Economics, 2016, vol. 71, issue C, 138-144

Abstract: Consider the classical risk model with dividends and capital injections. In addition to the model considered by Kulenko and Schmidli (2008), tax has to be paid for dividends. Capital injections yield tax exemptions. We calculate the value function and derive the optimal dividend strategy.

Keywords: Dividends; Capital injections; Tax; Barrier strategy; Hamilton–Jacobi–Bellman equation (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:71:y:2016:i:c:p:138-144

DOI: 10.1016/j.insmatheco.2016.08.004

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