Optimal investment for insurers with correlation risk: risk aversion and investment horizon
نویسندگان
چکیده
منابع مشابه
Optimal investment for insurers
We consider a risk process modelled as a compound Poisson process. The ruin probability of this risk process is minimized by the choice of a suitable investment strategy for a capital market index. The optimal strategy is computed using the Bellman equation. We prove the existence of a smooth solution and a verification theorem, and give explicit solutions in some cases with exponential claim s...
متن کاملOptimal time-consistent investment and reinsurance strategies for meanヨvariance insurers with state dependent risk aversion
In this paper, we study an insurer’s optimal time-consistent strategies under themean–variance criterion with state dependent risk aversion. It is assumed that the surplus process is approximated by a diffusion process. The insurer can purchase proportional reinsurance and invest in a financial market which consists of one risk-free asset andmultiple risky assets whose price processes follow ge...
متن کاملOptimal investment under operational flexibility, risk aversion, and uncertainty
Traditional real options analysis addresses the problem of investment under uncertainty assuming a risk-neutral decision maker and complete markets. In reality, however, decision makers are often risk averse and markets are incomplete. We confirm that risk aversion lowers the probability of investment and demonstrate how this effect can be mitigated by incorporating operational flexibility in t...
متن کاملDynamic Investment, Risk Aversion, and Foresight Sensitivity *
Since optimal investment strategies generally cannot be obtained in closed form when utility functions exhibit non-constant risk aversion, most dynamic investment studies have focused on the constant risk aversion case. The present paper investigates a general class of dynamic investment models with fmal-period expected wealth objective for which the fmal-period utility of wealth function is no...
متن کاملOptimal Deterministic Investment Strategies for Insurers
We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that investment strategies have to be determini...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: IMA Journal of Management Mathematics
سال: 2017
ISSN: 1471-678X,1471-6798
DOI: 10.1093/imaman/dpx001