Optimal investment strategy for a non-life insurance company: quadratic loss
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Publication:5469343
DOI10.4064/am32-3-2zbMath1140.91385OpenAlexW1995592584MaRDI QIDQ5469343
Publication date: 18 May 2006
Published in: Applicationes Mathematicae (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4064/am32-3-2
Hamilton-Jacobi-Bellman equationoptimal investment strategyinsurer's wealth path dependent disutility optimizationLévy-type stochastic integrals
Related Items (4)
Extended reduced-form framework for non-life insurance ⋮ Mean-variance portfolio selection for a non-life insurance company ⋮ Wealth investment strategies for insurance companies and the probability of ruin ⋮ Risk minimization with inflation and interest rate risk: applications to non-life insurance
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