This article investigates how the jump in the exchange rate and risky asset can affect the central bank's foreign management. We find that the jump in the exchange rate has a positive impact on the need for the risky asset, whereas the jump in the risky asset has a negative impact. However, the...

In this paper, we discuss how a risk-averse individual under an intertemporal equilibrium chooses his/her optimal insurance strategy to maximize his/her expected utility of terminal wealth. It is shown that the individual's optimal insurance strategy actually is equivalent to buying a put...

In this paper, we impose the insurer's risk constraint on Arrow's optimal insurance model. The insured aims to maximize his/her expected utility of terminal wealth, under the constraint that the insurer wishes to control the expected loss of his/her terminal wealth below some prespecified level....

In this paper we consider the optimal insurance problem when the insurer has a loss limit constraint. Under the assumptions that the insurance price depends only on the policy's actuarial value, and the insured seeks to maximize the expected utility of his terminal wealth, we show that coverage...