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Optimal investment for an insurer with exponential utility preference

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  • Wang, Nan

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  • Wang, Nan, 2007. "Optimal investment for an insurer with exponential utility preference," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 77-84, January.
    • Handle: RePEc:eee:insuma:v:40:y:2007:i:1:p:77-84
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    References listed on IDEAS

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    1. Browne, S., 1995. "Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin," Papers 95-08, Columbia - Graduate School of Business.
    2. Anna Frolova & Serguei Pergamenshchikov & Yuri Kabanov, 2002. "In the insurance business risky investments are dangerous," Finance and Stochastics, Springer, vol. 6(2), pages 227-235.
    3. Sid Browne, 1995. "Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin," Mathematics of Operations Research, INFORMS, vol. 20(4), pages 937-958, November.
    4. Hipp, Christian & Plum, Michael, 2000. "Optimal investment for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 215-228, October.
    5. Yang, Hailiang & Zhang, Lihong, 2005. "Optimal investment for insurer with jump-diffusion risk process," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 615-634, December.
    6. Freddy Delbaen & Peter Grandits & Thorsten Rheinländer & Dominick Samperi & Martin Schweizer & Christophe Stricker, 2002. "Exponential Hedging and Entropic Penalties," Mathematical Finance, Wiley Blackwell, vol. 12(2), pages 99-123, April.
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    Cited by:

    1. Gu, Ailing & Guo, Xianping & Li, Zhongfei & Zeng, Yan, 2012. "Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 674-684.
    2. Hiroaki Hata & Shuenn-Jyi Sheu & Li-Hsien Sun, 2019. "Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case," Papers 1903.08957, arXiv.org.
    3. Hong‐Chih Huang, 2010. "Optimal Multiperiod Asset Allocation: Matching Assets to Liabilities in a Discrete Model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 451-472, June.
    4. Mohamed Badaoui & Begoña Fernández & Anatoliy Swishchuk, 2018. "An Optimal Investment Strategy for Insurers in Incomplete Markets," Risks, MDPI, vol. 6(2), pages 1-23, April.
    5. Alia, Ishak & Chighoub, Farid & Sohail, Ayesha, 2016. "A characterization of equilibrium strategies in continuous-time mean–variance problems for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 212-223.
    6. Mayadunne, Sanjaya & Park, Sungjune, 2016. "An economic model to evaluate information security investment of risk-taking small and medium enterprises," International Journal of Production Economics, Elsevier, vol. 182(C), pages 519-530.
    7. Zhou, Qing, 2009. "Optimal investment for an insurer in the Lévy market: The martingale approach," Statistics & Probability Letters, Elsevier, vol. 79(14), pages 1602-1607, July.
    8. Zhao, Hui & Rong, Ximin & Zhao, Yonggan, 2013. "Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 504-514.
    9. Yi, Bo & Li, Zhongfei & Viens, Frederi G. & Zeng, Yan, 2013. "Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 601-614.
    10. Li, Zhongfei & Zeng, Yan & Lai, Yongzeng, 2012. "Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 191-203.
    11. Begoña Fernández & Daniel Hernández-Hernández & Ana Meda & Patricia Saavedra, 2008. "An optimal investment strategy with maximal risk aversion and its ruin probability," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 68(1), pages 159-179, August.
    12. Lihua Bai & Huayue Zhang, 2008. "Dynamic mean-variance problem with constrained risk control for the insurers," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 68(1), pages 181-205, August.
    13. Qianqian Zhou & Junyi Guo, 2020. "Optimal Control of Investment for an Insurer in Two Currency Markets," Papers 2006.02857, arXiv.org.
    14. Łukasz Delong & Russell Gerrard, 2007. "Mean-variance portfolio selection for a non-life insurance company," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 66(2), pages 339-367, October.
    15. Lim, Andrew E.B. & Wong, Bernard, 2010. "A benchmarking approach to optimal asset allocation for insurers and pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 317-327, April.
    16. Yan Tong & Tongling Lv & Yu Yan, 2023. "Optimal Investment and Reinsurance Policies in a Continuous-Time Model," Mathematics, MDPI, vol. 11(24), pages 1-20, December.
    17. Badaoui, Mohamed & Fernández, Begoña, 2013. "An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 1-13.

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