Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate

<div><svg height="13.532pt" id="M316" style="vertical-align:-3.4295pt" version="1.1" viewbox="-0.0498162 -10.1025 28.9096 13.532" width="28.9096pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M474 429L457 433C435 440 389 448 367 448C348 448 323 446 309 443C266 434 195 406 148 366C78 307 23 210 23 101C23 35 55 -12 92 -12C118 -12 146 1 196 35C247 70 311 130 346 173H348L281 -148C268 -211 256 -221 208 -229L191 -232L187 -257L433 -245L437 -219L411 -216C357 -210 350 -205 362 -140L427 207C447 315 461 381 474 429ZM387 387C379 337 363 262 355 236C318 180 201 57 142 57C126 57 112 81 112 128C112 205 150 321 220 376C244 395 280 403 312 403C345 403 370 396 387 387Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,6.383,-5.741)"><path d="M486 158C486 177 478 202 466 220C413 228 386 236 336 262C386 288 413 297 466 304C478 323 486 347 485 366C470 376 444 381 422 380C389 338 368 319 321 288C323 345 329 372 349 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448 138 402 92 341L111 321C149 368 169 378 178 378C188 378 198 363 214 320L254 212C185 117 138 65 107 65C98 65 85 69 82 75C79 82 73 86 65 86C44 86 23 60 23 39C23 7 44 -12 71 -12C119 -12 168 33 265 177L306 61C321 17 347 -12 373 -12C413 -12 465 33 507 96L491 119C459 84 432 60 413 60C395 60 378 92 358 148L321 250C341 279 369 310 389 332C417 363 439 382 456 382C466 382 475 376 481 368C486 361 492 358 496 358C513 358 536 381 536 404Z"></path></g></svg> without VaR constraint.</div>

Journal of Function Spaces

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Figure 1

Figure 1: Optimal Expected Utility of Dividend Payments with Proportional Reinsurance under VaR Constraints and Stochastic Interest Rate 