Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process
Optimization and Control
2023-03-22 v1
Abstract
We find the asymptotics of the value function maximizing the expected utility of discounted dividend payments of an insurance company whose reserves are modeled as a classical Cram\'er risk process, with exponentially distributed claims, when the initial reserves tend to infinity. We focus on the power and logarithmic utility functions. We perform some numerical analysis as well.
Keywords
Cite
@article{arxiv.2303.11827,
title = {Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process},
author = {Sebastian Baran and Corina Constantinescu and Zbigniew Palmowski},
journal= {arXiv preprint arXiv:2303.11827},
year = {2023}
}