IDEAS home Printed from https://ideas.repec.org/a/taf/sactxx/v2007y2007i2p73-107.html
   My bibliography  Save this article

Optimal expected exponential utility of dividend payments in a Brownian risk model

Author

Listed:
  • Peter Grandits
  • Friedrich Hubalek
  • Walter Schachermayer
  • Mislav Žigo

Abstract

We consider the following optimisation problem for an insurance company Here U(x) = (1−exp(−γx))/γ denotes an exponential utility function with risk aversion parameter γ, C denotes the accumulated dividend process, and β a discount factor. We show that – assuming that a certain integral equation has a solution – the optimal strategy is a barrier strategy. The barrier function is a solution of the integral equation and turns out to be time-dependent. In addition, we study the problem from a different point of view, namely by using a certain ansatz for the value function and the barrier.

Suggested Citation

  • Peter Grandits & Friedrich Hubalek & Walter Schachermayer & Mislav Žigo, 2007. "Optimal expected exponential utility of dividend payments in a Brownian risk model," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2007(2), pages 73-107.
    • Handle: RePEc:taf:sactxx:v:2007:y:2007:i:2:p:73-107
    DOI: 10.1080/03461230601165201
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03461230601165201
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03461230601165201?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Xianggang Lu & Lin Sun, 2023. "Discounted Risk-Sensitive Optimal Control of Switching Diffusions: Viscosity Solution and Numerical Approximation," Mathematics, MDPI, vol. 12(1), pages 1-24, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:sactxx:v:2007:y:2007:i:2:p:73-107. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/sact .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.