Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
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Cited by:
- 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.
- Rafael Serrano & Camilo Castillo, 2018. "ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach," Papers 1810.08466, arXiv.org, revised Aug 2021.
- Peng, Xingchun & Wang, Wenyuan, 2016. "Optimal investment and risk control for an insurer under inside information," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 104-116.
- Lijun Bo & Huafu Liao & Yongjin Wang, 2018. "Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching," Papers 1807.05513, arXiv.org.
- Chao Deng & Xizhi Su & Chao Zhou, 2024. "Peer effect and dynamic ALM games among insurers," Mathematics and Financial Economics, Springer, volume 18, number 11, December.
- Bin Zou & Abel Cadenillas, 2017. "Optimal Investment and Liability Ratio Policies in a Multidimensional Regime Switching Model," Risks, MDPI, vol. 5(1), pages 1-22, January.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2014-02-21 (Risk Management)
- NEP-UPT-2014-02-21 (Utility Models and Prospect Theory)
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