Optimal dividend strategies for a compound Poisson process under transaction costs and power utility
نویسندگان
چکیده
We characterize the value function of maximizing the total discounted utility of dividend payments for a compound Poisson insurance risk model when strictly positive transaction costs are included, leading to an impulse control problem. We show how to derive an optimal strategy for exponential claim amounts and construct a numerical procedure to deal with general claim amount distributions. 1 Control problem with transaction costs Let (Ω,F , P ) be a probability space carrying all the stochastic quantities defined below. The uncontrolled risk reserve process R = (Rt)t≥0 of an insurance portfolio is given by the CramérLundberg model
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