Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process

2023/03/21 by Baran, Sebastian, Constantinescu, Corina, Palmowski, Zbigniew
#FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.2303.11827

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 Cramér 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.

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