Article: article from journal or magazin.
Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility
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 illustrate that well known simple strategies can be optimal in the case of exponential claim amounts. Finally we develop a numerical procedure to deal with general claim amount distributions.
Classical risk model, Dividends, Stochastic control, Transaction costs
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