Optimal investment for insurers with correlation risk: risk aversion and investment horizon

DOI10.1093/IMAMAN/DPX001OpenAlexW2794004442MaRDI QIDQ5234100

Mei Choi Chiu, Hoi Ying Wong

Publication date: 25 September 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/aeb605c857c615cd8aff7ccdd69c06767d596b74

zbMATH Keywords

utility theoryverification theoremcorrelation riskWishart process

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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