33 citations · 33 across the 2 of their papers we have counts for
2 papers
q-fin.PM2019
Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case
Hiroaki Hata, Shuenn-Jyi Sheu, Li-Hsien Sun
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and risky assets. The mean returns and…
math.PR2010★ 33 cited
Asymptotics of the probability minimizing a "down-side" risk
Hiroaki Hata, Hideo Nagai, Shuenn-Jyi Sheu
We consider a long-term optimal investment problem where an investor tries to minimize the probability of falling below a target growth rate. From a mathematical viewpoint, this is…