@article{BataSchmidli2020,
  author    = {Katharina Bata and Hanspeter Schmidli},
  title     = {Optimal Capital Injections and Dividends with Tax in a Risk Model in Discrete Time},
  series   = {European Actuarial Journal},
  volume    = {10},
  number    = {1},
  publisher = {Springer Berlin Heidelberg},
  issn      = {2190-9733},
  doi       = {10.1007/s13385-019-00221-1},
  url       = {https://nbn-resolving.org/urn:nbn:de:hbz:832-epub4-22511},
  pages     = {235 -- 259},
  year      = {2020},
  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.},
  language  = {en}
}