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Optimal investment strategy and liability ratio for insurer with Lévy risk process
2019
Journal:  
Hacettepe Journal of Mathematics and Statistics
Author:  
Abstract:

We investigate an insurer's optimal investment and liability problem by maximizing the expected terminal wealth under different utility functions. The insurer's aggregate claim payments are modeled by a Lévy risk process. We assume that the financial market consists of a riskless and a risky assets. It is also assumed that the insurer's liability is negatively correlated with the return of the risky asset. The closed-form solution for the optimal investment and liability ratio is obtained using Pontryagin's Maximum Principle. Moreover, the solutions of the optimal control problems are examined and compared to the findings where the jump sizes are assumed to be constant.

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2019
Journal:  
Hacettepe Journal of Mathematics and Statistics
Author:  
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Hacettepe Journal of Mathematics and Statistics

Field :   Fen Bilimleri ve Matematik

Journal Type :   Uluslararası

Metrics
Article : 1.771
Cite : 682
2023 Impact : 0.004
Details
Hacettepe Journal of Mathematics and Statistics