| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153540 | Statistics & Probability Letters | 2009 | 6 Pages |
Abstract
In this paper we apply the martingale approach, which has been widely used in mathematical finance, to study the optimal investment problem for an insurer. When the risk and security assets are described by the Lévy processes and utility is CARA, the closed-form solutions to the maximization problem are obtained.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Qing Zhou,