Optimal investment and proportional reinsurance with risk constraint
In this paper, we investigate the problem of maximizing the expected exponential utility for an insurer. In the problem setting, the insurer can invest his/her wealth into the market and he/she can also purchase the proportional reinsurance. To control the risk exposure, we impose a value-at-risk co...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
Scientific Research Publishing
2013
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/33258 |