Expected Power Utility Maximization of Insurers
Author:
Funder
Japan Society for the Promotion of Science
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
https://link.springer.com/content/pdf/10.1007/s10690-023-09425-8.pdf
Reference41 articles.
1. Azcue, P., & Muler, N. (2009). Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints. Insurance: Mathematics and Economics, 44, 26–34. https://doi.org/10.1016/j.insmatheco.2008.09.006
2. Badaoui, M., & Fernández, B. (2013). An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments. Insurance: Mathematics and Economics, 53, 1–13. https://doi.org/10.1016/j.insmatheco.2013.04.002
3. Badaoui, M., Fernández, B., & Swishchuk, A. (2018). An optimal investment strategy for insurers in incomplete markets. Risks, 6, 31. https://doi.org/10.3390/risks6020031
4. Bai, L., & Guo, L. (2008). Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. Insurance: Mathematics and Economics, 42, 968–975. https://doi.org/10.1016/j.insmatheco.2007.11.002
5. Belkina, T., Hipp, C., Luo, S., & Taksar, M. (2014). Optimal constrained investment in the Cramer-Lundberg model. Scandinavian Actuarial Journal, 5, 383–404. https://doi.org/10.1080/03461238.2012.699001
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