Oksendal, B. and Sulem, A. (2005) Applied Stochastic Control of Jump Diffusions. Springer, New York.

has been cited by the following article:

• TITLE: Optimal Investment and Risk Control Strategy for an Insurer under the Framework of Expected Logarithmic Utility

  AUTHORS: Tingyun Wang

  KEYWORDS: Jump-Diffusion Process, Logarithmic Utility, Martingale Approach

  JOURNAL NAME: Open Journal of Statistics, Vol.6 No.2, April 26, 2016

  ABSTRACT: In this paper, we consider an insurer who wants to maximize its expected utility of terminal wealth by selecting optimal investment and risk control strategies. The insurer’s risk process is modeled by a jump-diffusion process and is negatively correlated with the returns of securities and derivatives in the financial market. In the financial model, a part of insurers’ wealth is invested into the financial market. Using a martingale approach, we obtain an explicit solution of optimal strategy for the insurer under logarithmic utility function.