Expected utility maximization for an insurer with investment and risk control under inside information
Author:
Affiliation:
1. School of Science, Wuhan University of Technology, Wuhan, P. R. China
Funder
National Natural Science Foundation of China
Fundamental Research Funds for the Central Universities
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2020.1757716
Reference33 articles.
1. Additional logarithmic utility of an insider
2. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
3. Optimal investment and reinsurance policies in insurance markets under the effect of inside information
4. Portfolio management in a stochastic factor model under the existence of private information
5. Optimal Mean-Variance Problem with Constrained Controls in a Jump-Diffusion Financial Market for an Insurer
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