Seção: ArtigosTítulo: Optimal investment and risk control policies for an insurer : Expected utility maximization / Bin Zou, Abel CadenillasAutor: Zou, BinNotas: Sumario: 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.Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/09/2014 Volumen 58 Número 1 - septiembre 2014 Outras classificações: 6Direitos: In Copyright (InC)Referencias externas:
