Jung, Eun Ju; Kim, Jai Heui - In: Insurance: Mathematics and Economics 51 (2012) 3, pp. 667-673
We give an explicit expression for the optimal investment strategy, under the constant elasticity of variance (CEV) model, which maximizes the expected HARA utility of the final value of the surplus at the maturity time. To do this, the corresponding HJB equation will be transformed into a...