Pelsser, Antoon A.J.; Laeven, Roger J.A. - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 515-523
In this paper we develop a framework for optimal investment decisions for insurance companies in the presence of (partially) unhedgeable risk. The perspective that we choose is from an insurance company that maximises the stream of dividends paid to its shareholders. The policy instruments that...