Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/288736 
Year of Publication: 
2020
Citation: 
[Journal:] European Actuarial Journal [ISSN:] 2190-9741 [Volume:] 10 [Issue:] 1 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2020 [Pages:] 235-259
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
We consider a risk model in discrete time with dividends and capital injections. The goal is to maximise the value of a dividend strategy. We show that the optimal strategy is of barrier type. That is, all capital above a certain threshold is paid as dividend. A second problem adds tax to the dividends but an injection leads to an exemption from tax. We show that the value function fulfils a Bellman equation. As a special case, we consider the case of premia of size one. In this case we show that the optimal strategy is a two barrier strategy. That is, there is a barrier if a next dividend of size one can be paid without tax and a barrier if the next dividend of size one will be taxed. In both models, we illustrate the findings by de Finetti’s example.
Subjects: 
Discrete risk model
Optimal dividend problem
Capital injections
Tax
Bellman equation
Two barrier strategy
de Finetti model
JEL: 
B30
G42
K30
J10
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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