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- W2037371179 abstract "In this paper we apply the martingale approach, which has been widely used in mathematical finance, to study the optimal investment problem for an insurer. When the risk and security assets are described by the Lévy processes and utility is CARA, the closed-form solutions to the maximization problem are obtained." @default.
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- W2037371179 date "2009-07-01" @default.
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- W2037371179 title "Optimal investment for an insurer in the Lévy market: The martingale approach" @default.
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- W2037371179 doi "https://doi.org/10.1016/j.spl.2009.03.027" @default.
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