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.
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