Article citationsMore>>

Wang, N. (2007). Optimal Investment for an Insurer with Exponential Utility Preference. Insurance: Mathematics and Economics, 40, 77-84.
https://www.sciencedirect.com/science/journal/01676687/40/1
https://doi.org/10.1016/j.insmatheco.2006.02.008

has been cited by the following article:

• TITLE: Real Options Adoption with Poisson Price, Quantity, and Policy Uncertainty Jumps

  AUTHORS: Chong (Andrea) Zhao, Gregory Colson, Hazel Wetzstein, Michael Wetzstein

  KEYWORDS: Asset Replacement, Brownian Motion, Investment, Poisson Jumps

  JOURNAL NAME: Theoretical Economics Letters, Vol.13 No.6, December 22, 2023

  ABSTRACT: A unifying methodology is presented, which jointly considers correlated Brownian motion processes with Poisson jumps in both revenue and policy. The methodology is unique in considering price and quantity as geometric Brownian motion processes with jumps following a Poisson process in revenue from market shocks and policy uncertainty.