Kulenko, Natalie; Schmidli, Hanspeter - In: Insurance: Mathematics and Economics 43 (2008) 2, pp. 270-278
We consider a classical risk model with dividend payments and capital injections. Thereby, the surplus has to stay positive. Like in the classical de Finetti problem, we want to maximise the discounted dividend payments minus the penalised discounted capital injections. We derive the...