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

2011/10/25 by Zbigniew Palmowski, Palmowski, Zbigniew, Sebastian Baran +1
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Portfolio Management (q-fin.PM) #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1110.5446

openalex publication_date 2011/10/25 · openalex created_date 2021/02/01 · openalex updated_date 2026/07/28

Abstract

We consider the problem of maximizing the discounted utility of dividend\npayments of an insurance company whose reserves are modeled as a classical\nCram 'er-Lundberg risk process. We investigate this optimization problem under\nthe constraint that dividend rate is bounded. We prove that the value function\nfulfills the Hamilton-Jacobi-Bellman equation and we identify the optimal\ndividend strategy.\n

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