Dividends with tax and capital injection in a spectrally negative Lévy risk model

Schmidli, H.

doi:10.1090/tpms/1043

Dividends with tax and capital injection in a spectrally negative Lévy risk model

Author: H. Schmidli
Journal: Theor. Probability and Math. Statist. 96 (2018), 177-189
MSC (2010): Primary 91B30; Secondary 60G44, 60K30
DOI: https://doi.org/10.1090/tpms/1043
Published electronically: October 5, 2018
MathSciNet review: 3666881
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Abstract: We consider a risk model driven by a spectrally negative Lévy process. From the surplus dividends are paid and capital injections have to be made in order to keep the surplus positive. In addition, tax has to be paid for dividends, but injections lead to an exemption from tax. We generalize the results from [12, 13] and show that the optimal dividend strategy is a two-barrier strategy. The barrier depends on whether an immediate dividend would be taxed or not. For a risk process perturbed by diffusion with exponentially distributed claim sizes, we show how the value function and the barriers can be determined.

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