Optimal Investment and Reinsurance Under the Gamma Process

In this paper, the insurance company invests its wealth in a capital market composed of a riskless asset and a risky asset. The aggregate claim process of the insurance company is modeled by the Gamma process so as to make it closer to the reality. In practice, the insurance company provides not onl...

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Veröffentlicht in:	Methodology and computing in applied probability 2021-09, Vol.23 (3), p.893-923
Hauptverfasser:	Li, Bohan, Guo, Junyi
Format:	Artikel
Sprache:	eng
Schlagworte:	Business and Management Economics Electrical Engineering Expected utility Insurance Insurance companies Life Sciences Mathematics and Statistics Maximization Optimization Policies Reinsurance Statistical analysis Statistics
Online-Zugang:	Volltext
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