Autor: |
Palmowski, Zbigniew, Baran, Sebastian |
Rok vydání: |
2011 |
Předmět: |
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Druh dokumentu: |
Working Paper |
Popis: |
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. |
Databáze: |
arXiv |
Externí odkaz: |
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