Optimal investment and risk control policies for an insurer in an incomplete market

被引：8
作者：
Zhou, Jieming [1 ,2 ]
Zhang, Xiaoye [1 ]
Huang, Ya [3 ]
Xiang, Xuyan [2 ]
Deng, Yingchun [1 ,2 ]
机构：
[1] Hunan Normal Univ, Sch Math & Stat, Minist Educ, LCSM, Changsha, Hunan, Peoples R China
[2] Hunan Univ Arts & Sci, Sch Math & Phys, Hunan Prov Cooperat Innovat Ctr Construct & Dev, Changde, Hunan, Peoples R China
[3] Hunan Normal Univ, Sch Business, Changsha, Hunan, Peoples R China
来源：
OPTIMIZATION | 2019年 / 68卷 / 09期
基金：
中国国家自然科学基金;
关键词：
Investment; risk control; martingale approach; mean-variance; expected utility; OPTIMAL PROPORTIONAL REINSURANCE; ROBUST OPTIMAL INVESTMENT; LEVY MARKET; MARTINGALE; PORTFOLIO; UTILITY; MODEL;
D O I：
10.1080/02331934.2019.1581778
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, we apply the martingale approach to investigate the optimal investment and risk control problem for an insurer in an incomplete market. The claim risk of per policy is characterized by a compound Poisson process with drift, and the insurer can be invested in multiple risky assets whose price processes are described by the geometric Brownian motions model. By 'complete' the incomplete market, closed-form solutions to the problems of mean-variance criterion and expected exponential utility maximization are obtained. Moreover, numerical simulations are presented to illustrate the results with the basic parameters.
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页码：1625 / 1652
页数：28
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