Optimal investment and risk control policies for an insurer : Expected utility maximization

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      <subfield code="a">Zou, Bin</subfield>
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      <subfield code="a">Optimal investment and risk control policies for an insurer</subfield>
      <subfield code="b">: Expected utility maximization</subfield>
      <subfield code="c">Bin Zou,  Abel Cadenillas</subfield>
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      <subfield code="a">Motivated by the AIG bailout case in the financial crisis of 20072008, we consider an insurer who wants to maximize his/her expected utility of terminal wealth by selecting optimal investment and risk control strategies. The insurer¿s risk process is modeled by a jump-diffusion process and is negatively correlated with the capital gains in the financial market. We obtain explicit solutions of optimal strategies for various utility functions.</subfield>
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      <subfield code="w">MAP20077100574</subfield>
      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">01/09/2014 Volumen 58 Número 1 - septiembre 2014 </subfield>
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