کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
697597 | 890376 | 2011 | 9 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: A BSDE approach to a risk-based optimal investment of an insurer A BSDE approach to a risk-based optimal investment of an insurer](/preview/png/697597.png)
We discuss a backward stochastic differential equation, (BSDE), approach to a risk-based, optimal investment problem of an insurer. A simplified continuous-time economy with two investment vehicles, namely, a fixed interest security and a share, is considered. The insurer’s risk process is modeled by a diffusion approximation to a compound Poisson risk process. The goal of the insurer is to select an optimal portfolio so as to minimize the risk described by a convex risk measure of his/her terminal wealth. The optimal investment problem is then formulated as a zero-sum stochastic differential game between the insurer and the market. The BSDE approach is used to solve the game problem. It leads to a simple and natural approach for the existence and uniqueness of an optimal strategy of the game problem without Markov assumptions. Closed-form solutions to the optimal strategies of the insurer and the market are obtained in some particular cases.
Journal: Automatica - Volume 47, Issue 2, February 2011, Pages 253–261