An optimal investment strategy with maximal risk aversion and its ruin probability
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References listed on IDEAS
- 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.
- Guerra, Manuel & de Lourdes Centeno, Maria, 2008. "Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 529-539, April.
- Hipp, Christian & Plum, Michael, 2000. "Optimal investment for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 215-228, October.
- 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.
- Wang, Nan, 2007. "Optimal investment for an insurer with exponential utility preference," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 77-84, January.
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- repec:eee:insuma:v:74:y:2017:i:c:p:7-19 is not listed on IDEAS
More about this item
KeywordsRisk process; Ruin probability; Stochastic control; Diffusions; Optimal investment; Exponential utility; Lundberg parameter; Hamilton–Jacobi–Bellman equations; Primary 60H30; 91B30; 93E20; Secondary 60G44; 62P05; 60K10;
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