3 citations · 4 across the 2 of their papers we have counts for
2 papers
q-fin.MF2024★ 1 cited
Optimal Insurance to Maximize Exponential Utility when Premium is Computed by a Convex Functional
Jingyi Cao, Dongchen Li, Virginia R. Young +1
We find the optimal indemnity to maximize the expected utility of terminal wealth of a buyer of insurance whose preferences are modeled by an exponential utility. The insurance pre…
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…