Optimal investment for an insurer with exponential utility preference
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Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- Asymptotic ruin probabilities and optimal investment
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
- Exponential Hedging and Entropic Penalties
- In the insurance business risky investments are dangerous
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment for insurers
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
Cited in
(46)- An optimal investment strategy with maximal risk aversion and its ruin probability
- Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model
- On optimal investment and subexponential claims
- Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
- Mean-variance portfolio selection for a non-life insurance company
- Minimizing expected time to reach a given capital level before ruin
- Optimal investment for an insurer under liquid reserves
- The optimal multi-period hedging model of currency futures and options with exponential utility
- Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
- Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
- Optimal investment and reinsurance of insurers with lognormal stochastic factor model
- 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 VIX-linked structure for the target benefit pension plan
- Expected utility maximization for an insurer with investment and risk control under inside information
- Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
- Optimal investment decision for insurer with option under different interest rates
- Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market
- Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
- Optimal investment for insurers
- Expected exponential utility maximization of insurers with a linear Gaussian stochastic factor model
- Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
- Optimal portfolio selection bounded by a safety-first criterion for insurer
- Optimal investment for insurers when the stock price follows an exponential Lévy process
- Optimal reinsurance and investment problem with multiple risky assets and correlation risk for an insurer under the Ornstein-Uhlenbeck model
- Optimal investment problem for an insurer and a reinsurer
- scientific article; zbMATH DE number 5630848 (Why is no real title available?)
- An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
- Optimal investment problem between two insurers with value-added service
- A benchmarking approach to optimal asset allocation for insurers and pension funds
- Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Optimal investment strategy and liability ratio for insurer with Lévy risk process
- 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
- Dynamic mean-variance problem with constrained risk control for the insurers
- A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
- Optimal investment with multiple risky assets for an insurer with modified periodic risk process
- On optimal proportional reinsurance and investment in a hidden Markov financial market
- Optimal reinsurance-investment problem under a CEV model: stochastic differential game formulation
- Optimal investment for an insurer with cointegrated assets: CRRA utility
- Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
- 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
- Optimal investment with multiple risky assets under short-selling prohibition in a periodic environment
- Optimal reinsurance and investment strategy with delay in Heston's SV model
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