Optimal investment for an insurer with cointegrated assets: CRRA utility

► Solve the investment problems for CRRA insurers investing in cointegrated assets. ► Provide the verification theorem for the corresponding HJB framework. ► Investigate the risk-preference of insurers toward statistical arbitrage. ► Insurers may not be interested in statistical arbitrage due to the social responsibility. ► Risky insurers who seek statistical arbitrage are less sensitive to large claims.