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

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.

Keywords

• utility function
• risk process
• asymptotics