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

Sebastian Baran, Corina Constantinescu () and Zbigniew Palmowski
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Sebastian Baran: Institute of Quantitative Methods in Social Sciences, Cracow University of Economics, 31-510 Kraków, Poland
Corina Constantinescu: Department of Mathematical Sciences, Institute for Financial and Actuarial Mathematics, University of Liverpool, Liverpool L69 7ZL, UK
Zbigniew Palmowski: Department of Applied Mathematics, Faculty of Pure and Applied Mathematics, Wrocław University of Science and Technology, 50-370 Wrocław, Poland

Risks, 2023, vol. 11, issue 4, 1-16

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 also perform some numerical analysis.

Keywords: utility function; risk process; asymptotics (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2023
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