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. ISSN 2227-9091, 2227-9091

Access the full-text of this item by clicking on the Open Access link.

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.

Item Type:	Article
Uncontrolled Keywords:	utility function, risk process, asymptotics
Divisions:	Faculty of Science & Engineering > School of Physical Sciences
Depositing User:	Symplectic Admin
Date Deposited:	27 Mar 2023 09:34
Last Modified:	16 Jun 2026 11:56
DOI:	10.3390/risks11040064
Open Access URL:	https://www.mdpi.com/2227-9091/11/4/64
Related Websites:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3169256
Disclaimer:	The University of Liverpool is not responsible for content contained on other websites from links within repository metadata. Please contact us if you notice anything that appears incorrect or inappropriate.