Asymptotic expected utility of dividend payments in a classical collective risk process

Sebastian Baran, Corina Constantinescu and Zbigniew Palmowski

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.

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Year of publication:	2023
Authors:	Baran, Sebastian ; Constantinescu, Corina ; Palmowski, Zbigniew
Published in:	Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 11.2023, 4, Art.-No. 64, p. 1-15
Subject:	utility function \| risk process \| asymptotics \| Theorie \| Theory \| Risiko \| Risk \| Dividende \| Dividend \| Erwartungsnutzen \| Expected utility \| Nutzenfunktion \| Utility function \| Nutzen \| Utility \| Stochastischer Prozess \| Stochastic process

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/risks11040064 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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