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Optimizing expected utility of dividend payments for a Cram\'er-Lundberg risk proces

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  • Zbigniew Palmowski
  • Sebastian Baran

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.

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  • Zbigniew Palmowski & Sebastian Baran, 2011. "Optimizing expected utility of dividend payments for a Cram\'er-Lundberg risk proces," Papers 1110.5446, arXiv.org, revised May 2017.
    • Handle: RePEc:arx:papers:1110.5446
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    References listed on IDEAS

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    1. 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.
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