An insurer's optimal strategy towards a new independent business

• Main Authors: Chi, Yichun, Huang, Yuxia, Tan, Ken Seng
• Other Authors: Nanyang Business School
• Format: Article
• Language: English
• Published: 2023
• Subjects: Business::Finance; Conditional Value at Risk; Underwriting New Business
• Online Access: https://hdl.handle.net/10356/172358
• Institution: Nanyang Technological University

In this paper, we investigate the optimal decision making of an insurer towards a new insurable business, whose risk is independent of the existing risk faced by the insurer. We assume that the insurer, with the objective of maximizing the expected utility of its final wealth, together with the solv...