Optimizing expected utility of dividend payments for a Cram\'er-Lundberg risk proces
Computational Finance
2017-05-08 v3 Probability
Portfolio Management
Abstract
We consider the problem of maximizing the discounted utility of dividend payments of an insurance company whose reserves are modeled as a classical Cram\'er-Lundberg risk process. We investigate this optimization problem under the constraint that dividend rate is bounded. We prove that the value function fulfills the Hamilton-Jacobi-Bellman equation and we identify the optimal dividend strategy.
Keywords
Cite
@article{arxiv.1110.5446,
title = {Optimizing expected utility of dividend payments for a Cram\'er-Lundberg risk proces},
author = {Zbigniew Palmowski and Sebastian Baran},
journal= {arXiv preprint arXiv:1110.5446},
year = {2017}
}