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Asymptotic Expected Utility of Dividend Payments in a Classical Collective Risk Process

Authors :
Sebastian Baran
Corina Constantinescu
Zbigniew Palmowski
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.

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