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

Bin Zou and Abel Cadenillas

Papers from arXiv.org

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.

Date: 2014-02, Revised 2014-03
New Economics Papers: this item is included in nep-rmg and nep-upt
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Citations: View citations in EconPapers (6)

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