Optimal investment strategies for an insurer with liquid constraint
Author:
Affiliation:
1. School of Mathematics and Statistics, Wuhan University, Wuhan, Hubei, People’s Republic of China
Funder
National Natural Science Foundation of China
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2021.1945634
Reference28 articles.
1. Exact and Asymptotic Results for Insurance Risk Models with Surplus-dependent Premiums
2. Ruin Probabilities
3. Optimal constrained investment in the Cramer-Lundberg model
4. Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
5. The Compound Poisson Surplus Model with Interest and Liquid Reserves: Analysis of the Gerber–Shiu Discounted Penalty Function
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