克拉姆-伦德伯格风险过程股利支付预期效用的优化

arXiv: Computational Finance Pub Date : 2011-10-25 DOI:10.4064/AM2333-5-2017

Z. Palmowski, Sebastian Baran

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引用次数: 1

摘要

考虑一类保险公司股利支付的贴现效用最大化问题，该保险公司的准备金被建模为经典的克拉姆-伦德伯格风险过程。研究了股利率有界约束下的优化问题。我们证明了价值函数满足Hamilton-Jacobi-Bellman方程，并确定了最优股利策略。

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Optimizing expected utility of dividend payments for a Cram\'er-Lundberg risk proces

We consider the problem of maximizing the discounted utility of dividend payments of an insurance company whose reserves are modeled as a classical Cram\'er-Lundberg risk process. We investigate this optimization problem under the constraint that dividend rate is bounded. We prove that the value function fulfills the Hamilton-Jacobi-Bellman equation and we identify the optimal dividend strategy.

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arXiv: Computational Finance

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