کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076659 1477217 2014 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal portfolio choice for an insurer with loss aversion
ترجمه فارسی عنوان
انتخاب نمونه کارها بهینه برای یک بیمه گر با نگرانی از دست دادن
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
The problem of optimal investment for an insurance company attracts more attention in recent years. In general, the investment decision maker of the insurance company is assumed to be rational and risk averse. This is inconsistent with non fully rational decision-making way in the real world. In this paper we investigate an optimal portfolio selection problem for the insurer. The investment decision maker is assumed to be loss averse. The surplus process of the insurer is modeled by a Lévy process. The insurer aims to maximize the expected utility when terminal wealth exceeds his aspiration level. With the help of martingale method, we translate the dynamic maximization problem into an equivalent static optimization problem. By solving the static optimization problem, we derive explicit expressions of the optimal portfolio and the optimal wealth process.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 58, September 2014, Pages 217-222
نویسندگان
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