Universität zu Köln

Bata, Katharina and Schmidli, Hanspeter ORCID: 0000-0001-6404-078X (2020). Optimal capital injections and dividends with tax in a risk model in discrete time. Eur. Actuar. J., 10 (1). S. 235 - 260. HEIDELBERG: SPRINGER HEIDELBERG. ISSN 2190-9741

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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.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Bata, Katharina UNSPECIFIED UNSPECIFIED UNSPECIFIED Schmidli, Hanspeter UNSPECIFIED orcid.org/0000-0001-6404-078X UNSPECIFIED
URN:	urn:nbn:de:hbz:38-332179
DOI:	10.1007/s13385-019-00221-1
Journal or Publication Title:	Eur. Actuar. J.
Volume:	10
Number:	1
Page Range:	S. 235 - 260
Date:	2020
Publisher:	SPRINGER HEIDELBERG
Place of Publication:	HEIDELBERG
ISSN:	2190-9741
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 Business, Finance Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/33217