%0 Journal Article
%T Optimal Investment and Risk Control Strategy for an Insurer under the Framework of Expected Logarithmic Utility
%A Tingyun Wang
%J Open Journal of Statistics
%P 286-294
%@ 2161-7198
%D 2016
%I Scientific Research Publishing
%R 10.4236/ojs.2016.62024
%X In this paper, we consider an insurer who wants to maximize its
expected utility of terminal wealth by selecting optimal investment and risk
control strategies. The insurer¡¯s risk process is modeled by a jump-diffusion
process and is negatively correlated with the returns of securities and
derivatives in the financial market. In the financial model, a part of
insurers¡¯ wealth is invested into the financial market. Using a martingale
approach, we obtain an explicit solution of optimal strategy for the insurer
under logarithmic utility function.
%K Jump-Diffusion Process
%K Logarithmic Utility
%K Martingale Approach
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=65872