Suboptimal Control of Dividends under Exponential Utility


We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are... [ view full abstract ]


  1. Julia Eisenberg (University of Liverpool)
  2. Paul Krühner (University of Liverpool)

Topic Areas

Insurance , Optimal Control , Utility Theory


WE-P-EM » Dividends and Control (14:30 - Wednesday, 18th July, Emmet)

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