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Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times.
- Source :
-
Scandinavian Actuarial Journal . Feb2022, Vol. 2022 Issue 1, p49-63. 15p. - Publication Year :
- 2022
-
Abstract
- We consider a renewal risk model with general Erlang distributed interarrival 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. [ABSTRACT FROM AUTHOR]
- Subjects :
- *HAMILTON-Jacobi-Bellman equation
*FINANCIAL planning
Subjects
Details
- Language :
- English
- ISSN :
- 03461238
- Volume :
- 2022
- Issue :
- 1
- Database :
- Academic Search Index
- Journal :
- Scandinavian Actuarial Journal
- Publication Type :
- Academic Journal
- Accession number :
- 155882960
- Full Text :
- https://doi.org/10.1080/03461238.2021.1926315