Optimal investment for an insurer with exponential utility preference

By Nan Wang. 2007

73 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0ac0aed03b2b36656d6fb545a1261329d3dfccc0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Yan Zeng
2. Zhongfei Li
3. Bo Yi
4. Frederi G. Viens
5. Yongzeng Lai
6. Yang Shen
7. Pei Wang
8. Yongwu Li

Citations in the corpus

• Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013, background): “In addition, some scholars have recently studied the optimal reinsurance and/or investment strategies for insurers with constant absolute risk aversion (CARA) utility, see among Browne (1995), Yang & Zhang (2005), Wang (2007), Xu et al. (2008) and so on.”
• Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2012, background): “For example, Browne (1995), Yang and Zhang (2005), Wang (2007) and Xu et al. (2008) studied the optimal investment strategies to maximize insurers’ expected exponential utility from the terminal wealth under different market assumptions; Bai and Guo (2008), Luo et al. (2008), Luo (2009) and Azcue…”