On the Survival of Insurance Company’s Investment with Consumption under Power and Exponential Utility Functions
American Journal of Applied Mathematics
Volume 2, Issue 1, February 2014, Pages: 8-13
Received: Jan. 19, 2014; Published: Feb. 20, 2014
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Bright Okore Osu, Department of Mathematics, Abia State University, Uturu, Nigeria
Silas Abahia Ihedioha, Government Secondary School Bwari Federal Capital Territory, Abuja, Nigeria
Joy Ijeoma Adindu-Dick, Department of Mathematics, Imo State University, Owerri, Nigeria
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In this paper, the survival of insurance company’s investment with consumption is investigated under power and exponential utility functions. We take the risk reserve of an insurance company to follow Brownian motion with drift and tackle an optimal portfolio selection problem of the company. The investment case considered was insurance company that trades two assets: the money market account (bond) growing at a linear rate r and a risky stock with an investment behavior in the presence of a stochastic cash flow or a risk process, continuously in the economy.Under these functions, we obtained the optimal strategies. It is discovered that both utility functions are alike.
Stochastic Optimal Control, Company’s Investment With Consumption, Power Utility Function, Exponential Utility Function
To cite this article
Bright Okore Osu, Silas Abahia Ihedioha, Joy Ijeoma Adindu-Dick, On the Survival of Insurance Company’s Investment with Consumption under Power and Exponential Utility Functions, American Journal of Applied Mathematics. Vol. 2, No. 1, 2014, pp. 8-13. doi: 10.11648/j.ajam.20140201.12
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