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Asymptotic Expected Utility of Dividend Payments in a Classical Collective Risk Process
- Source :
- Risks, Vol 11, Iss 4, p 64 (2023)
- Publication Year :
- 2023
- Publisher :
- MDPI AG, 2023.
-
Abstract
- We find the asymptotics of the value function maximizing the expected utility of discounted dividend payments of an insurance company whose reserves are modeled as a classical Cramér risk process, with exponentially distributed claims, when the initial reserves tend to infinity. We focus on the power and logarithmic utility functions. We also perform some numerical analysis.
- Subjects :
- utility function
risk process
asymptotics
Insurance
HG8011-9999
Subjects
Details
- Language :
- English
- ISSN :
- 22279091
- Volume :
- 11
- Issue :
- 4
- Database :
- Directory of Open Access Journals
- Journal :
- Risks
- Publication Type :
- Academic Journal
- Accession number :
- edsdoj.1c4028e5d3d9421ebee9d252a6920635
- Document Type :
- article
- Full Text :
- https://doi.org/10.3390/risks11040064