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

Zbigniew Palmowski and 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 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.

Date: 2011-10, Revised 2017-05
New Economics Papers: this item is included in nep-upt
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