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Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation
Risk Shifting Insurance Regulation Pareto Optimality
2011/3/30
Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets a...
Optimal reinsurance/investment problems for general insurance models
Optimal reinsurance investment problems general insurance models
2010/11/2
In this paper the utility optimization problem for a general insur-ance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Br...
An optimal life insurance policy in the investment-consumption problem in an incomplete market
life insurance policy the investment-consumption problem incomplete market
2010/12/13
This paper considers an optimal life insurance for a householder subject to mortality risk. The household receives a wage income continuously, which is terminated by unexpected (premature) loss of ear...