Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization
Risk Management
2014-03-10 v2 Portfolio Management
Abstract
Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optimal investment and risk control strategies. The insurer's risk process is modelled by a jump-diffusion process and is negatively correlated with the capital gains in the financial market. We obtain explicit solution to optimal strategies for various utility functions.
Keywords
Cite
@article{arxiv.1402.3560,
title = {Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization},
author = {Bin Zou and Abel Cadenillas},
journal= {arXiv preprint arXiv:1402.3560},
year = {2014}
}
Comments
27 pages