Optimal Investment and Consumption for an Insurer with High-Watermark Performance Fee
The optimal investment and consumption problem is investigated for an insurance company, which is subject to the payment of high-watermark fee from profit. The objective of insurance company is to maximize the expected cumulated discount utility up to ruin time. The consumption behavior considered i...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
Hindawi Limited
2015-01-01
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Series: | Mathematical Problems in Engineering |
Online Access: | http://dx.doi.org/10.1155/2015/413072 |