Optimal Investment and Liability Ratio Policies when There Is Regime Switching
نویسندگان
چکیده
We consider an insurer who faces an external jump-diffusion risk that is negatively correlated with the capital returns in the financial market. We assume not only the financial market but also the risk process depend on the regime of the economy. The insurer selects investment and liability ratio policies continuously to maximize its expected utility of terminal wealth. We obtain explicit solutions for optimal investment and liability ratio policies for logarithmic, power and exponential utility functions.
منابع مشابه
Optimal Investment and Liability Ratio Policies in a Multidimensional Regime Switching Model
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