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

DOI10.4064/AM2333-5-2017MaRDI QIDQ4595459zbMATHOpenAlexFDO

Authors Sebastian Baran, Zbigniew Palmowski

Publication date 30 November 2017

Published in Applicationes Mathematicae (Search for Journal in Brave)

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

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)

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.

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Cited in

(8)

• Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Dividend pay-out problems with the logarithmic utility
• Dividend maximization under consideration of the time value of ruin
• Optimal dividend strategies for a risk process under force of interest
• Optimal investment and dividend policy in an insurance company: a varied bound for dividend rates
• The policy iteration algorithm for a compound Poisson process applied to optimal dividend strategies under a Cramér-Lundberg risk model
• Optimal dividend payout for classical risk model with risk constraint

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