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

DOI10.4064/AM2333-5-2017zbMATH Open1386.60302arXiv1110.5446OpenAlexW2963906557MaRDI QIDQ4595459FDOQ4595459

Authors: Sebastian Baran, Zbigniew Palmowski 

Publication date: 30 November 2017

Published in: Applicationes Mathematicae (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1110.5446

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlutility functiondividend problemcapital injection

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Optimal stochastic control (93E20)

Cited In (6)

• Optimal dividend strategies for a risk process under force of interest
• Dividend maximization under consideration of the time value of ruin
• Optimal investment and dividend policy in an insurance company: a varied bound for dividend rates
• Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
• Optimal dividend payout for classical risk model with risk constraint
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL

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