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

MAP20140037094
Zou, Bin
Optimal investment and risk control policies for an insurer : Expected utility maximization / Bin Zou, Abel Cadenillas
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
En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/09/2014 Volumen 58 Número 1 - septiembre 2014
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