Optimal investment for an insurer with exponential utility preference
From MaRDI portal
Publication:865611
DOI10.1016/j.insmatheco.2006.02.008zbMath1273.91431OpenAlexW1993881776MaRDI QIDQ865611
Publication date: 19 February 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.02.008
Related Items (30)
Optimal investment and reinsurance of insurers with lognormal stochastic factor model ⋮ Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model ⋮ A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers ⋮ Minimizing expected time to reach a given capital level before ruin ⋮ Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model ⋮ Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model ⋮ Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables ⋮ OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET ⋮ Optimal investment with multiple risky assets under short-selling prohibition in a periodic environment ⋮ Optimal investment with multiple risky assets for an insurer in an incomplete market ⋮ Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer ⋮ Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model ⋮ An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments ⋮ Optimal investment for an insurer in the Lévy market: the martingale approach ⋮ Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model ⋮ A benchmarking approach to optimal asset allocation for insurers and pension funds ⋮ Optimal investment with multiple risky assets for an insurer with modified periodic risk process ⋮ Optimal reinsurance and investment strategy with delay in Heston's SV model ⋮ Mean-variance portfolio selection for a non-life insurance company ⋮ On optimal proportional reinsurance and investment in a hidden Markov financial market ⋮ Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model ⋮ Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model ⋮ Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model ⋮ Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model ⋮ Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model ⋮ An optimal investment strategy with maximal risk aversion and its ruin probability ⋮ Dynamic mean-variance problem with constrained risk control for the insurers ⋮ The optimal multi-period hedging model of currency futures and options with exponential utility ⋮ Unnamed Item ⋮ Optimal investment problem for an insurer and a reinsurer
Cites Work
- Unnamed Item
- Unnamed Item
- Optimal investment for insurer with jump-diffusion risk process
- Asymptotic ruin probabilities and optimal investment
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- In the insurance business risky investments are dangerous
- Exponential Hedging and Entropic Penalties
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
- Optimal investment for insurers
This page was built for publication: Optimal investment for an insurer with exponential utility preference
