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On capital injections and dividends with tax in a classical risk model

Institution:	1. Department of Statistics, Razi University, Kermanshah, Iran;2. Department of AFI-Insurance, KU Leuven, Leuven, Belgium;1. Department of Statistics, Wuhan University of Technology, Wuhan, 430070, PR China;2. School of Mathematics and Statistics, Wuhan University, Wuhan, 430072, PR China;1. School of Risk and Actuarial Studies, UNSW Australia Business School, UNSW Sydney NSW 2052, Australia;2. Département de Mathématiques et de Statistique, Université de Montréal, Montréal QC H3T 1J4, Canada;1. Department of Operations Research and the MTA-ELTE Egerváry Research Group on Combinatorial Optimization, Eötvös Loránd University, 1117 Budapest, Pázmány Péter sétány 1/C, Hungary;2. Department of Computer Science and Information Theory, Budapest University of Technology and Economics, 1117 Budapest, Magyar Tudósok körútja 2, Hungary

Abstract:	Consider the classical risk model with dividends and capital injections. In addition to the model considered by Kulenko and Schmidli (2008), tax has to be paid for dividends. Capital injections yield tax exemptions. We calculate the value function and derive the optimal dividend strategy.

Keywords:	Dividends Capital injections Tax Barrier strategy Hamilton–Jacobi–Bellman equation
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