TY  - JOUR
U1  - Zeitschriftenartikel, wissenschaftlich - begutachtet (reviewed)
A1  - Bata, Katharina
A1  - Schmidli, Hanspeter
T1  - Optimal Capital Injections and Dividends with Tax in a Risk Model in Discrete Time
JF  - European Actuarial Journal
N2  - 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.
KW  - Steuer
KW  - Discrete Risk Model
KW  - Optimal Dividend Problem
KW  - Capital Injections
KW  - Tax
KW  - Bellman Equation
KW  - Two Barrier Strategy
KW  - de Finetti Model
KW  - Primary 91B30
KW  - Secondary 60G42
KW  - 60K30
KW  - 60J10
KW  - Bellman-Gleichung
Y1  - 2020
UN  - https://nbn-resolving.org/urn:nbn:de:hbz:832-epub4-22511
SN  - 2190-9733
SS  - 2190-9733
SN  - 2190-9741
SS  - 2190-9741
U6  - https://doi.org/10.1007/s13385-019-00221-1
DO  - https://doi.org/10.1007/s13385-019-00221-1
VL  - 10
IS  - 1
SP  - 235
EP  - 259
S1  - 25
PB  - Springer Berlin Heidelberg
ER  -