Optimal investment for an insurer with cointegrated assets: CRRA utility

Keyphrases

• Insurer 100%
• Optimal Investment 100%
• CRRA Utility 100%
• Risky Assets 33%
• Statistical Arbitrage 33%
• Risk Aversion 16%
• Copyright 16%
• Social Responsibility 16%
• Explicit Solution 16%
• Financial Markets 16%
• Continuous-time 16%
• Insurance Claims 16%
• Compound Poisson Process 16%
• Terminal Wealth 16%
• Time Investment 16%
• Relative Risk 16%
• Expected Utility 16%
• Derivation Process 16%
• Arbitrage Opportunity 16%
• Investment Performance 16%
• Analytical Results 16%
• Risk Preferences 16%
• Risk Averse Utility 16%
• Risk Level 16%
• Investment Problem 16%
• Pairs Trading 16%
• Exponential Affine Model 16%
• Utility Function 16%
• HJB Equation 16%
• Dynamic Cointegration 16%

Economics, Econometrics and Finance

• Arbitrage 100%
• Social Responsibility 50%
• Financial Market 50%
• Levy Process 50%
• Continuous Time 50%
• Wealth 50%
• Utility Function 50%
• Risk Attitude 50%
• Risk Preference 50%