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Emms, P. and Haberman, S. (2007) Asymptotic and Numerical Analysis of the Optimal Investment Strategy for An Insurer. Insurance: Mathematics and Economics, 40 113-134.
http://dx.doi.org/10.1016/j.insmatheco.2006.03.003

has been cited by the following article:

• TITLE: Measure of Investment Optimal Strategy

  AUTHORS: J. T. Eghwerido, E. Ekuma-Okereke, E. Ekuma-Okereke, E. Efe-Eyefia, Edwin Iguodala, T. O. Obilade

  KEYWORDS: Martingale, Negative Exponential, Logarithm, Square-Root, Power Utility Functions

  JOURNAL NAME: Journal of Mathematical Finance, Vol.6 No.2, May 12, 2016

  ABSTRACT: In this paper, we considered the different strategies that generate the optimal wealth on investment. The strategy examine depends on the utility function an investor is willing to adopt, say H* at time N in every 2n possible states; in an N period setting. Negative exponential, logarithm, square root and power utility functions were established, as the market structures changed according to a Markov chain through a martingale approach. The problem of maximization is solved via Lagrange method. The performance of the investment from day-to-day is driven by the ratio of the risk neutral probability and the probability of rising to falling.