Geodesic
Optimizing the expected utility of dividend payments for a Cramér–Lundberg risk process
Sebastian Baran 1   ; Zbigniew Palmowski 2
1 Department of Mathematics Cracow University of Economics 31-510 Kraków, Poland
2 Faculty of Pure and Applied Mathematics Wrocław University of Science and Technology 50-370 Wrocław, Poland
Applicationes Mathematicae, Tome 44 (2017) no. 2, pp. 247-265 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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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.
DOI : 10.4064/am2333-5-2017
Keywords: consider problem maximizing discounted utility dividend payments insurance company whose reserves modeled classical cram lundberg risk process investigate optimization problem under constraint dividend rate bounded prove value function satisfies hamilton jacobi bellman equation identify optimal dividend strategy

Sebastian Baran  1   ; Zbigniew Palmowski  2

1 Department of Mathematics Cracow University of Economics 31-510 Kraków, Poland
2 Faculty of Pure and Applied Mathematics Wrocław University of Science and Technology 50-370 Wrocław, Poland 
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Sebastian Baran; Zbigniew Palmowski. Optimizing the expected utility of dividend payments for a Cramér–Lundberg risk process. Applicationes Mathematicae, Tome 44 (2017) no. 2, pp. 247-265. doi: 10.4064/am2333-5-2017

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