5 citations · 17 across the 13 of their papers we have counts for
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q-fin.RM2014★ 3 cited
Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
Bin Zou, Abel Cadenillas
Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optima…
q-fin.RM2014★ 1 cited
Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching
Bin Zou, Abel Cadenillas
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial mar…