most citedAsymptotics of the probability minimizing a "down-side" risk

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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…