کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077498 | 1374133 | 2007 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal investment for insurers when the stock price follows an exponential Lévy process
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We consider a stochastic model for the wealth of an insurance company which has the possibility to invest into a risky and a riskless asset under a constant mix strategy. The total claim amount is modeled by a compound Poisson process and the price of the risky asset follows a general exponential Lévy process. We investigate the resulting reserve process and the corresponding discounted net loss process. This opens up a way to measure the risk of a negative outcome of the reserve process in a stationary way. We provide an approximation of the optimal investment strategy which maximizes the expected wealth of the insurance company under a risk constraint on the Value-at-Risk. We conclude with some examples.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 41, Issue 2, September 2007, Pages 250-263
Journal: Insurance: Mathematics and Economics - Volume 41, Issue 2, September 2007, Pages 250-263
نویسندگان
Radostina Kostadinova,