Optimizing the expected utility of dividend payments for a Cramér–Lundberg risk process
Volume 44 / 2017
Applicationes Mathematicae 44 (2017), 247-265
MSC: Primary 60K10; Secondary 93E20.
DOI: 10.4064/am2333-5-2017
Published online: 24 August 2017
Abstract
We consider the problem of maximizing the discounted utility of dividend payments of an insurance company whose reserves are modeled as a classical Cramér–Lundberg risk process. We investigate this optimization problem under the constraint that the dividend rate is bounded. We prove that the value function satisfies the Hamilton–Jacobi–Bellman equation and we identify the optimal dividend strategy.
