Optimal investment and risk control policies for an insurer: expected utility maximization
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Publication:2513618
DOI10.1016/J.INSMATHECO.2014.06.006zbMATH Open1304.91141arXiv1402.3560OpenAlexW1598117570WikidataQ125926798 ScholiaQ125926798MaRDI QIDQ2513618FDOQ2513618
Authors: Bin Zou, Abel Cadenillas 
Publication date: 28 January 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Abstract: Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optimal investment and risk control strategies. The insurer's risk process is modelled by a jump-diffusion process and is negatively correlated with the capital gains in the financial market. We obtain explicit solution to optimal strategies for various utility functions.
Full work available at URL: https://arxiv.org/abs/1402.3560
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Cited In (42)
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