Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process
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- Sebastian Baran & Zbigniew Palmowski, 2013. "Problem optymalizacji oczekiwanej użyteczności wypłat dywidend w modelu Cramera-Lundberga," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 31, pages 27-43.
- Hubalek, Friedrich & Schachermayer, Walter, 2004. "Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 193-225, April.
- Asmussen, Soren & Taksar, Michael, 1997. "Controlled diffusion models for optimal dividend pay-out," Insurance: Mathematics and Economics, Elsevier, vol. 20(1), pages 1-15, June.
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Keywords
utility function; risk process; asymptotics;All these keywords.
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