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- W3182048175 abstract "In the present paper, we investigate the optimal investment strategies for an insurer with the liquid constraint. The insurer’s surplus is modeled by a Lévy process. The insurer can invest in N risky assets and a risk-free asset. However, in reality, the insurer needs to keep partial amount of his wealth as liquid reserves to meet with the management, which is called as the liquid constraint. We assume that the liquid reserve is a proportion of the insurer’s wealth. Using the martingale approach, we derive the explicit optimal investment strategies for both CARA and quadratic utilities." @default.
- W3182048175 created "2021-07-19" @default.
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- W3182048175 date "2021-07-13" @default.
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- W3182048175 title "Optimal investment strategies for an insurer with liquid constraint" @default.
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- W3182048175 doi "https://doi.org/10.1080/03610926.2021.1945634" @default.
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