Asymptotic and numerical analysis of the optimal investment strategy for an insurer

DOI10.1016/J.INSMATHECO.2006.03.003MaRDI QIDQ865616zbMATH OpenOpenAlexFDO

Authors Paul Emms, Steven Haberman

Publication date 19 February 2007

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/2294/1/163ARP.pdf

Mathematics Subject Classification ID

Portfolio theory (91G10)

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• Optimal Investment for an Insurer to Minimize Its Probability of Ruin
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• Optimal investment for investors with state dependent income, and for insurers
• Optimal strategies for pricing general insurance
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
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Cited in

(4)

• Optimal investment for insurers
• scientific article; zbMATH DE number 2247654 (Why is no real title available?)
• Optimal asset allocation for a general portfolio of life insurance policies
• Risk management of financial crises: an optimal investment strategy with multivariate jump-diffusion models

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