Optimal investment for an insurer with exponential utility preference

Insurance: Mathematics and Economics

Volumn 40, Issue 1, 2007, Pages 77-84

  Wang, Nan ^a  

^a CITY UNIVERSITY   (United Kingdom)

Author keywords

Adjustment coefficient; Admissible strategy; Exponential martingale; Exponential utility; Ito's formula

Indexed keywords

EID: 33751312259     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2006.02.008     Document Type: Article

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