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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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      <subfield code="y">MÁS INFORMACIÓN</subfield>
      <subfield code="u">mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A</subfield>
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