Risks (Mar 2023)

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

  • Sebastian Baran,
  • Corina Constantinescu,
  • Zbigniew Palmowski

DOI
https://doi.org/10.3390/risks11040064
Journal volume & issue
Vol. 11, no. 4
p. 64

Abstract

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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.

Keywords