Optimal Investment with Multiple Risky Assets for an Insurer in an Incomplete Market
Joint Authors
Rong, Xi-min
Cao, Jiling
Zhao, Hui
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-03-31
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
This paper studies the optimal investment problem for an insurer in an incomplete market.
The insurer's risk process is modeled by a Lévy process and the insurer is supposed to have the option of investing in multiple risky assets whose price processes are described by the standard Black-Scholes model.
The insurer aims to maximize the expected utility of terminal wealth.
After the market is completed, we obtain the optimal strategies for quadratic utility and constant absolute risk aversion (CARA) utility explicitly via the martingale approach.
Finally, computational results are presented for given raw market data.
American Psychological Association (APA)
Zhao, Hui& Rong, Xi-min& Cao, Jiling. 2013. Optimal Investment with Multiple Risky Assets for an Insurer in an Incomplete Market. Discrete Dynamics in Nature and Society،Vol. 2013, no. 2013, pp.1-12.
https://search.emarefa.net/detail/BIM-495891
Modern Language Association (MLA)
Zhao, Hui…[et al.]. Optimal Investment with Multiple Risky Assets for an Insurer in an Incomplete Market. Discrete Dynamics in Nature and Society No. 2013 (2013), pp.1-12.
https://search.emarefa.net/detail/BIM-495891
American Medical Association (AMA)
Zhao, Hui& Rong, Xi-min& Cao, Jiling. Optimal Investment with Multiple Risky Assets for an Insurer in an Incomplete Market. Discrete Dynamics in Nature and Society. 2013. Vol. 2013, no. 2013, pp.1-12.
https://search.emarefa.net/detail/BIM-495891
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-495891