Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times. Issue 1 (2nd January 2022)

• Record Type: Journal Article
• Authors: Schmidli, Hanspeter
• Is Part Of: Scandinavian actuarial journal. Volume 2022:Issue 1(2022)
• Page Start: 49
• Page End: 63
• Publication Date: 2022-01-02
• Subjects: Renewal model -- optimal dividend strategy -- capital injections -- barrier strategy -- Hamilton–Jacobi–Bellman equation; Insurance, Life -- Mathematics -- Periodicals; Insurance -- Mathematics -- Periodicals; 368.01
• DOI: 10.1080/03461238.2021.1926315
• Languages: English
• ISSNs: 0346-1238

Abstract

Abstract : We consider a renewal risk model with general Erlang distributed inter-arrival 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.