Optimal Investment with Multiple Risky Assets for an Insurer in an Incomplete Market
This paper studies the optimal investment problem for an insurer in an incomplete market. The insurer's risk process is modeled by a Lévy process and the insurer is supposed to have the option of investing in multiple risky assets whose price processes are described by the standard Black-Schole...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2013-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2013/751846 |
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