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

Hanspeter Schmidli

Scandinavian Actuarial Journal, 2022, vol. 2022, issue 1, 49-63

Abstract: We consider a renewal risk model with general Erlang distributed inter-arrival times. We treat this as a Markov modulated risk model and assume, for simplicity, that the states are observable. The insurer can pay dividends and has to inject capital in order to keep the surplus positive. We determine the optimal dividend/capital injection strategy.

Date: 2022
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DOI: 10.1080/03461238.2021.1926315

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