Optimal Investment Strategy to Maximize the Expected Utility of an Insurance Company Under the Cramer-Lundberg Dynamic

@article{CerdaHernndez2022OptimalIS,
  title={Optimal Investment Strategy to Maximize the Expected Utility of an Insurance Company Under the Cramer-Lundberg Dynamic},
  author={Jos{\'e} Cerda-Hern{\'a}ndez and A. Sikov},
  journal={SSRN Electronic Journal},
  year={2022}
}
In this work, we examine the combined problem of optimal portfolio selection rules for an insurer in a continuous-time model where the surplus of an insurance company is modelled as a compound Poisson process. The company can invest its surplus in a risk free asset and in a risky asset, governed by the Black-Scholes equation. According to utility theory, in a financial market where investors are facing uncertainty, an investor is not concerned with wealth maximization per se but with utility… 

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