Optimizing expected utility of dividend payments for a Cramér-Lundberg risk proces

Abstract

We consider the problem of maximizing the discounted utility of dividend payments of an insurance company whose reserves are modeled as a classical Cramér-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.