Optimal reinsurance and investment problem under fractional power utility function
This paper discusses the optimal problem of reinsurance and investment for insurance companies with a fractional power utility function. Insurance companies can buy reinsurance contracts and invest their wealth in risk-free or riskfree financial securities. It is assumed that the insurance company...
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| Main Authors: | , , , , , |
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| Format: | Conference or Workshop Item |
| Language: | en |
| Published: |
2020
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| Subjects: | |
| Online Access: | http://eprints.unisza.edu.my/1821/1/FH03-FIK-20-42150.pdf http://eprints.unisza.edu.my/1821/ |
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