Optimal investment decision for insurer with real estate under different interest rates on deposit and loan

DOI10.13383/J.CNKI.JSE.2020.04.006zbMATH Open1463.91112MaRDI QIDQ3386346FDOQ3386346

Authors: Yuan Man, Wenjing Guo 

Publication date: 14 January 2021

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zbMATH Keywords

dynamic programming principlereal estateexponential utility functioninsurance investment

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Dynamic programming (90C39) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• Optimal investment decision for insurer with option under different interest rates
• Optimal reinsurance-investment strategies for an insurance company with real estate investment
• An optimal investment strategy and multiperiod deposit insurance pricing model for commercial banks

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