Optimal investment for insurers
نویسندگان
چکیده
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 size distribution, as well as numerical results in a case with Pareto claim size. For this last case, the optimal amount invested will not be bounded. © 2000 Elsevier Science B.V. All rights reserved.
منابع مشابه
Catastrophe Insurance and Optimal Investment
In the insurance market, the insurers who provide catastrophe insurance face with the risk of rare, but huge catastrophe claims. The introduction of catastrophe related securities into the marketplace provide the insurers the instruments to hedge some of the catastrophe risks they are facing. A catastrophe related security is tied to the prespecified catastrophe claims, while independent to oth...
متن کاملOptimal time-consistent investment and reinsurance strategies for insurers under Hestonメs SV model
This paper considers the optimal time-consistent investment and reinsurance strategies for an insurer under Heston’s stochastic volatility (SV) model. Such an SV model applied to insurers’ portfolio problems has not yet been discussed as far as we know. The surplus process of the insurer is approximated by a Brownian motion with drift. The financial market consists of one risk-free asset and on...
متن کاملInsurer Optimal Asset Allocation in a Small and Closed Economy: The Case of Iran’s Social Security Organization
We seek to determine the optimal amount of the insurer’s investment in all types of assets for a small and closed economy. The goal is to detect the implications and contributions the risk seeker and risk aversion insurer commonly make and the effectiveness in the investment decision. Also, finding the optimum portfolio for each is the main goal of the present study. To this end, we adopted the...
متن کاملOptimal time-consistent investment and reinsurance policies for mean-variance insurers
This paper investigates the optimal time-consistent policies of an investment-reinsurance problem and an investment-only problem under the mean-variance criterion for an insurer whose surplus process is approximated by a Brownianmotionwith drift. The financial market considered by the insurer consists of one risk-free asset and multiple risky assets whose price processes follow geometric Browni...
متن کاملOn the Feasibility of Insurers ’ Investment Policies
This article calls attention to a difficulty with insurers' investment policies that seems to have been overlooked so far. There is the distinct possibility that insurers cannot satisfy the demands of different stakeholders in terms of expected returns and volatility. While using the capital asset pricing model as the benchmark, this article distinguishes two groups of stakeholders that impose ...
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 کامل