%0 Journal Article
%T Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
%A Bin Zou
%A Abel Cadenillas
%J Quantitative Finance
%D 2014
%I arXiv
%X Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optimal investment and risk control strategies. The insurer's risk process is modelled by a jump-diffusion process and is negatively correlated with the capital gains in the financial market. We obtain explicit solution to optimal strategies for various utility functions.
%U http://arxiv.org/abs/1402.3560v2