Articles with "optimal proportional" as a keyword



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Optimal proportional reinsurance and investment for stochastic factor models

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Published in 2019 at "Insurance: Mathematics and Economics"

DOI: 10.1016/j.insmatheco.2019.03.006

Abstract: In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its terminal wealth in a finite time horizon. Our goal is to… read more here.

Keywords: reinsurance; optimal proportional; proportional reinsurance; reinsurance investment ... See more keywords