Optimal investment for an insurer in the Lévy market: The martingale approach

Qing Zhou

Statistics & Probability Letters, 2009, vol. 79, issue 14, 1602-1607

Abstract: In this paper we apply the martingale approach, which has been widely used in mathematical finance, to study the optimal investment problem for an insurer. When the risk and security assets are described by the Lévy processes and utility is CARA, the closed-form solutions to the maximization problem are obtained.

Date: 2009
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