Universität zu Köln

Schmidli, Hanspeter ORCID: 0000-0001-6404-078X (2017). On capital injections and dividends with tax in a diffusion approximation. Scand. Actuar. J. (9). S. 751 - 761. ABINGDON: TAYLOR & FRANCIS LTD. ISSN 1651-2030

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Abstract

We consider a diffusion approximation to a risk process with dividends and capital injections. Tax has to be paid on dividends, but capital injections lead to an exemption from tax. That is, tax is only paid for the aggregate excess of dividends over the capital injections. The value of a strategy is the expected value of the discounted dividend payments after tax minus the discounted capital injections. We solve the problem and show that the optimal dividend strategy is a barrier strategy.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Schmidli, Hanspeter UNSPECIFIED orcid.org/0000-0001-6404-078X UNSPECIFIED
URN:	urn:nbn:de:hbz:38-244745
DOI:	10.1080/03461238.2016.1248480
Journal or Publication Title:	Scand. Actuar. J.
Number:	9
Page Range:	S. 751 - 761
Date:	2017
Publisher:	TAYLOR & FRANCIS LTD
Place of Publication:	ABINGDON
ISSN:	1651-2030
Language:	English
Faculty:	Faculty of Mathematics and Natural Sciences
Divisions:	Faculty of Mathematics and Natural Sciences > Department of Mathematics and Computer Science > Mathematical Institute
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language MODEL Multiple languages Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/24474