Optimal investment decision for insurer in a jump-diffusion market

GUO Wen-jing;ZHAO Cheng-guo;YUAN Jian-hui

Systems Engineering - Theory & Practice ›› 2011, Vol. 31 ›› Issue (4) : 749-760.

PDF(547 KB)
PDF(547 KB)
Systems Engineering - Theory & Practice ›› 2011, Vol. 31 ›› Issue (4) : 749-760. DOI: 10.12011/1000-6788(2011)4-749
论文

Optimal investment decision for insurer in a jump-diffusion market

  • GUO Wen-jing1, ZHAO Cheng-guo2, YUAN Jian-hui3
Author information +
History +

Abstract

Assume that the surplus of an insurer follows the compound Poisson risk process and the insurer would invest its surplus in a financial market, which consists of one risk-free bond and n risky assets, whoseprices follow an n-dimensional jump-diffusion process. The optimal investment strategy under the mean-variance principle for the insurer is studied by the stochastic control approach. The closed and explicit formulas for the optimal investment strategy and the efficient frontier are derived. Unlike optimal strategies derived under other criteria such as maximizing the expected exponential utility function of an insurer’sterminal wealth, the optimal investment strategy derived in this paper depends on all model parameters for an insurer. Moreover, the effects of the model parameters on the optimal investment strategy and some dynamic properties of the efficient frontier are analyzed.

Key words

premium rate / claim arrival intensity / compound Poisson risk process / jump-diffusion market / optimal investment strategy / efficient frontier

Cite this article

Download Citations
GUO Wen-jing , ZHAO Cheng-guo , YUAN Jian-hui. Optimal investment decision for insurer in a jump-diffusion market. Systems Engineering - Theory & Practice, 2011, 31(4): 749-760 https://doi.org/10.12011/1000-6788(2011)4-749
PDF(547 KB)

298

Accesses

0

Citation

Detail

Sections
Recommended

/