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arXiv · 1402.3560

Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization

Bin Zou·Abel Cadenillas
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Abstract

Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optimal investment and risk control strategies. The insurer's risk process is modelled by a jump-diffusion process and is negatively correlated with the capital gains in the financial market. We obtain explicit solution to optimal strategies for various utility functions.

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Bin Zou, Abel Cadenillas. 2014-02-14. Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization. https://arxiv.org/abs/1402.3560

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