Optimal investment for an insurer under liquid reserves

DOI10.3934/jimo.2019114zbMath1474.91164MaRDI QIDQ2031332

Haili Yuan, Hu, Yijun

Publication date: 9 June 2021

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2019114

zbMATH Keywords

risk model; CARA utility; quadratic utility; liquid reserve

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91G05: Actuarial mathematics

Related Items

Optimal investment strategies for an insurer with liquid constraint

Cites Work

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