Optimal reinsurance and investment problem under fractional power utility function
This paper discusses the optimal problem of reinsurance and investment for insurance companies with a fractional power utility function. Insurance companies can buy reinsurance contracts and invest their wealth in risk-free or riskfree financial securities. It is assumed that the insurance company...
Saved in:
| Main Authors: | , , , , , |
|---|---|
| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2020
|
| Subjects: | |
| Online Access: | http://eprints.unisza.edu.my/1821/1/FH03-FIK-20-42150.pdf http://eprints.unisza.edu.my/1821/ |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Universiti Sultan Zainal Abidin |
| Language: | English |