Optimal investment strategy for insurers under linear constraint

MaRDI QIDQ3014560zbMATH OpenFDO

Authors Yan Zeng, Zhongfei Li

Publication date 19 July 2011

zbMATH Keywords

dynamic programminginsurance portfoliosruin probabilitythe optimal investment policy

Mathematics Subject Classification ID

Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50)

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Cited in

(7)

• Optimal investment and consumption for an insurer with high-watermark performance fee
• Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model
• Linear Optimization in C (Ω) and Portfolio Insurance
• Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
• Optimal investment strategy for a non-life insurance company: quadratic loss
• Asymptotic and numerical analysis of the optimal investment strategy for an insurer
• Optimal investment and life insurance strategies under minimum and maximum constraints

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