Before revision: We consider the problem of maximizing the expected utility of discounted dividend payments of an insurance company whose reserves are modeled as a Cram\'er risk processwith Erlang claims. We focus on the exponential claims and power and logarithmic utility functions. Finally we also analyze asymptotic behaviour of the value function  and identify the asymptotic optimal strategy.
After revision: We consider the problem of maximizing the expected utility of discounted dividend payments of an insurance company whose reserves are modeled as a classical Cram\'er-Lundberg risk process. We investigate this optimization problem under the constraint that dividend rate is bounded. We prove that the value function and identify the asymptotic optimal strategy.