Optimal investment and risk control policies for an insurer : expected utility maximization
Year of publication: |
2014
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Authors: | Zou, Bin ; Cadenillas, Abel |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 58.2014, p. 57-67
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Subject: | Jump-diffusion process | Martingale approach | HARA utility | CARA utility | Quadratic utility | Erwartungsnutzen | Expected utility | Nutzen | Utility | Martingal | Martingale | Portfolio-Management | Portfolio selection | Nutzentheorie | Utility theory |
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