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

Baran, Sebastian, Constantinescu, Corina ORCID: 0000-0002-5219-3022 and Palmowski, Zbigniew (2023) Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process. Risks, 11 (4). p. 64.

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Official URL: http://dx.doi.org/10.3390/risks11040064

Abstract

<jats:p>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.</jats:p>

Item Type:	Article
Uncontrolled Keywords:	utility function, risk process, asymptotics
Divisions:	Faculty of Science and Engineering > School of Physical Sciences
Depositing User:	Symplectic Admin
Date Deposited:	27 Mar 2023 09:34
Last Modified:	17 Mar 2024 18:10
DOI:	10.3390/risks11040064
Open Access URL:	https://www.mdpi.com/2227-9091/11/4/64
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3169256