Schmidli, Hanspeter (2022). Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times. Scand. Actuar. J., 2022 (1). S. 49 - 64. ABINGDON: TAYLOR & FRANCIS LTD. ISSN 1651-2030
Full text not available from this repository.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.
| Item Type: | Journal Article | ||||||||
| Creators: |
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| URN: | urn:nbn:de:hbz:38-564951 | ||||||||
| DOI: | 10.1080/03461238.2021.1926315 | ||||||||
| Journal or Publication Title: | Scand. Actuar. J. | ||||||||
| Volume: | 2022 | ||||||||
| Number: | 1 | ||||||||
| Page Range: | S. 49 - 64 | ||||||||
| Date: | 2022 | ||||||||
| Publisher: | TAYLOR & FRANCIS LTD | ||||||||
| Place of Publication: | ABINGDON | ||||||||
| ISSN: | 1651-2030 | ||||||||
| Language: | English | ||||||||
| Faculty: | Unspecified | ||||||||
| Divisions: | Unspecified | ||||||||
| Subjects: | no entry | ||||||||
| Uncontrolled Keywords: |
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| URI: | http://kups.ub.uni-koeln.de/id/eprint/56495 |
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