Optimal proportional reinsurance and investment for stochastic factor models
Sign Up to like & getrecommendations! 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