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

Autor:	Palmowski, Zbigniew, Baran, Sebastian
Rok vydání:	2011
Předmět:	Quantitative Finance - Computational Finance Mathematics - Probability Quantitative Finance - Portfolio Management
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:	http://arxiv.org/abs/1110.5446 Zobrazit plný text záznamu View this record from Arxiv