Fernández, Begoña; Hernández-Hernández, Daniel; … - In: Mathematical Methods of Operations Research 68 (2008) 1, pp. 159-179
In this paper we study an optimal investment problem of an insurer when the company has the opportunity to invest in a risky asset using stochastic control techniques. A closed form solution is given when the risk preferences are exponential as well as an estimate of the ruin probability when...
