Peng, Xingchun; Wei, Linxiao; Hu, Yijun - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 78-86
This paper is devoted to the study of optimization of investment, consumption and proportional reinsurance for an insurer with option type payoff at the terminal time under the criterion of exponential utility maximization. The surplus process of the insurer and the financial risky asset process...