Optimal Deterministic Investment Strategies for Insurers
نویسندگان
چکیده
منابع مشابه
Optimal Deterministic Investment Strategies for Insurers
We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that investment strategies have to be determini...
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ژورنال
عنوان ژورنال: Risks
سال: 2013
ISSN: 2227-9091
DOI: 10.3390/risks1030101