Optimizing expected utility of dividend payments for a Erlang risk process

Details Optimizing expected utility of dividend payments for a Erlang risk process Optimizing expected utility of dividend payments for a Erlang risk process

2011-10-25

arxiv.org/abs/1110.5446v1

Economy

Quantitative Finance

Computational Finance

Scientific paper

We consider the problem of maximizing the expected utility of discounted dividend payments of an insurance company whose reserves are modeled as a Cram\'er risk process with Erlang claims. We focus on the exponential claims and power and logarithmic utility functions. Finally we also analyze asymptotic behaviour of the value function and identify the asymptotic optimal strategy. We also give the numerical procedure of finding considered value function.

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