| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076669 | Insurance: Mathematics and Economics | 2013 | 13 Pages |
Abstract
⺠Solve the investment problems for CRRA insurers investing in cointegrated assets. ⺠Provide the verification theorem for the corresponding HJB framework. ⺠Investigate the risk-preference of insurers toward statistical arbitrage. ⺠Insurers may not be interested in statistical arbitrage due to the social responsibility. ⺠Risky insurers who seek statistical arbitrage are less sensitive to large claims.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Mei Choi Chiu, Hoi Ying Wong,