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arXiv · 1110.5446

Optimizing expected utility of dividend payments for a Cramér-Lundberg risk proces

Zbigniew Palmowski·Sebastian Baran
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Abstract

We consider the problem of maximizing the discounted utility of dividend payments of an insurance company whose reserves are modeled as a classical Cramér-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. 2017-05-04. Optimizing expected utility of dividend payments for a Cramér-Lundberg risk proces. https://arxiv.org/abs/1110.5446

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