Zou, Bin; Cadenillas, Abel - In: Insurance: Mathematics and Economics 58 (2014) C, pp. 57-67
Motivated by the AIG bailout case in the financial crisis of 2007–2008, we consider an insurer who wants to maximize his/her 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...