The paper provides explicit optimal investment strategies for an insurer with Erlang(n) claim arrivals, but a sign inconsistency in the nonzero-interest-rate case invalidates the stated formula.
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Optimal investment problem in a renewal risk model with generalized Erlang distributed interarrival times
The paper provides explicit optimal investment strategies for an insurer with Erlang(n) claim arrivals, but a sign inconsistency in the nonzero-interest-rate case invalidates the stated formula.