Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process
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 powe...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-03-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/11/4/64 |
| _version_ | 1797603555571400704 |
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| author | Sebastian Baran Corina Constantinescu Zbigniew Palmowski |
| author_facet | Sebastian Baran Corina Constantinescu Zbigniew Palmowski |
| author_sort | Sebastian Baran |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-11T04:33:43Z |
| format | Article |
| id | doaj.art-1c4028e5d3d9421ebee9d252a6920635 |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-03-11T04:33:43Z |
| publishDate | 2023-03-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-1c4028e5d3d9421ebee9d252a69206352023-11-17T21:13:51ZengMDPI AGRisks2227-90912023-03-011146410.3390/risks11040064Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk ProcessSebastian Baran0Corina Constantinescu1Zbigniew Palmowski2Institute of Quantitative Methods in Social Sciences, Cracow University of Economics, 31-510 Kraków, PolandDepartment of Mathematical Sciences, Institute for Financial and Actuarial Mathematics, University of Liverpool, Liverpool L69 7ZL, UKDepartment of Applied Mathematics, Faculty of Pure and Applied Mathematics, Wrocław University of Science and Technology, 50-370 Wrocław, PolandWe 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.https://www.mdpi.com/2227-9091/11/4/64utility functionrisk processasymptotics |
| spellingShingle | Sebastian Baran Corina Constantinescu Zbigniew Palmowski Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process Risks utility function risk process asymptotics |
| title | Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process |
| title_full | Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process |
| title_fullStr | Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process |
| title_full_unstemmed | Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process |
| title_short | Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process |
| title_sort | asymptototic expected utility of dividend payments in a classical collective risk process |
| topic | utility function risk process asymptotics |
| url | https://www.mdpi.com/2227-9091/11/4/64 |
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