Academic Journal
Optimal capital injections and dividends with tax in a risk model in discrete time
| العنوان: | Optimal capital injections and dividends with tax in a risk model in discrete time |
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| المؤلفون: | Bata, Katharina, Schmidli, Hanspeter |
| بيانات النشر: | Springer |
| سنة النشر: | 2020 |
| المجموعة: | EconStor (German National Library of Economics, ZBW) |
| مصطلحات موضوعية: | ddc:510, B30, G42, K30, J10, Discrete risk model, Optimal dividend problem, Capital injections, Tax, Bellman equation, Two barrier strategy, de Finetti model |
| الوصف: | 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. |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| تدمد: | 2190-9741 |
| Relation: | Journal: European Actuarial Journal; Volume: 10; Year: 2020; Issue: 1; Pages: 235-259; Berlin, Heidelberg: Springer; https://hdl.handle.net/10419/288736 |
| DOI: | 10.1007/s13385-019-00221-1 |
| الاتاحة: | https://hdl.handle.net/10419/288736 https://doi.org/10.1007/s13385-019-00221-1 |
| Rights: | http://www.econstor.eu/dspace/Nutzungsbedingungen ; https://creativecommons.org/licenses/by/4.0/ |
| رقم الانضمام: | edsbas.9D69340 |
| قاعدة البيانات: | BASE |
Full Text Finder | تدمد: | 21909741 |
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| DOI: | 10.1007/s13385-019-00221-1 |