Optimal investment for an insurer with exponential utility preference
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Publication:865611
DOI10.1016/J.INSMATHECO.2006.02.008zbMATH Open1273.91431OpenAlexW1993881776MaRDI QIDQ865611FDOQ865611
Authors: Nan Wang 
Publication date: 19 February 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.02.008
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Cites Work
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- In the insurance business risky investments are dangerous
- Exponential Hedging and Entropic Penalties
- Asymptotic ruin probabilities and optimal investment
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
Cited In (40)
- Mean-variance portfolio selection for a non-life insurance company
- Minimizing expected time to reach a given capital level before ruin
- Optimal investment problem for an insurer and a reinsurer
- Optimal investment with multiple risky assets for an insurer in an incomplete market
- Optimal investment for an insurer in the Lévy market: the martingale approach
- Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model
- Optimal investment with multiple risky assets under short-selling prohibition in a periodic environment
- Expected utility maximization for an insurer with investment and risk control under inside information
- Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
- On optimal investment and subexponential claims
- Optimal investment for insurers
- Title not available (Why is that?)
- Optimal investment and reinsurance of insurers with lognormal stochastic factor model
- Dynamic mean-variance problem with constrained risk control for the insurers
- Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model
- Optimal investment problem between two insurers with value-added service
- Optimal reinsurance and investment strategy with delay in Heston's SV model
- Optimal investment for insurers when the stock price follows an exponential Lévy process
- Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
- An optimal investment strategy with maximal risk aversion and its ruin probability
- Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
- Title not available (Why is that?)
- Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
- A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Optimal reinsurance-investment problem under a CEV model: stochastic differential game formulation
- Optimal investment and consumption for an insurer with high-watermark performance fee
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model
- Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
- Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
- Optimal VIX-linked structure for the target benefit pension plan
- OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET
- Optimal investment with multiple risky assets for an insurer with modified periodic risk process
- A benchmarking approach to optimal asset allocation for insurers and pension funds
- Optimal reinsurance and investment problem with multiple risky assets and correlation risk for an insurer under the Ornstein-Uhlenbeck model
- An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
- The optimal multi-period hedging model of currency futures and options with exponential utility
- On optimal proportional reinsurance and investment in a hidden Markov financial market
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