OPTIMAL DIVIDEND PROBLEM WITH THE INFLUENCE OF DIVIDEND PAYOUTS ON INSURANCE BUSINESS

This article initiates the optimal dividend problem, from the view point of the managers of the insurance companies. where we incorporate the influence of dividend payouts on the insurance business. We begin with a mathematical characterization of the influence of dividend payouts, and then continue to find the optimal dividend policy that maximizes the expected utility of terminal wealth and minimizes the ruin probability. We study the problem in terms of the Levy process and derive the diffusion process case as a particular one.