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Optimal Investment Policy for Insurers under the Constant Elasticity of Variance Model with a Correlated Random Risk Process
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-05-20
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
This paper investigates the optimal portfolio choice problem for a large insurer with negative exponential utility over terminal wealth under the constant elasticity of variance (CEV) model.
The surplus process is assumed to follow a diffusion approximation model with the Brownian motion in which is correlated with that driving the price of the risky asset.
We first derive the corresponding Hamilton–Jacobi–Bellman (HJB) equation and then obtain explicit solutions to the value function as well as the optimal control by applying a variable change technique and the Feynman–Kac formula.
Finally, we discuss the economic implications of the optimal policy.
American Psychological Association (APA)
Liu, Xiaotao& Liu, Hailong. 2020. Optimal Investment Policy for Insurers under the Constant Elasticity of Variance Model with a Correlated Random Risk Process. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1194226
Modern Language Association (MLA)
Liu, Xiaotao& Liu, Hailong. Optimal Investment Policy for Insurers under the Constant Elasticity of Variance Model with a Correlated Random Risk Process. Mathematical Problems in Engineering No. 2020 (2020), pp.1-10.
https://search.emarefa.net/detail/BIM-1194226
American Medical Association (AMA)
Liu, Xiaotao& Liu, Hailong. Optimal Investment Policy for Insurers under the Constant Elasticity of Variance Model with a Correlated Random Risk Process. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1194226
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1194226