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Article: Optimal investment for insurer with jump-diffusion risk process

TitleOptimal investment for insurer with jump-diffusion risk process
Authors
KeywordsHamilton-Jacobi-Bellman equations
Ito's formula
Jump-diffusion
Martingale
Stochastic control
Utility
Issue Date2005
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 2005, v. 37 n. 3, p. 615-634 How to Cite?
AbstractIn this paper, we study optimal investment policies of an insurer with jump-diffusion risk process. Under the assumptions that the risk process is compound Poisson process perturbed by a standard Brownian motion and the insurer can invest in the money market and in a risky asset, we obtain the close form expression of the optimal policy when the utility function is exponential. We also study the insurer's optimal policy for general objective function, a verification theorem is proved by using martingale optimality principle and Ito's formula for jump-diffusion process. In the case of minimizing ruin probability, numerical methods and numerical results are presented for various claim-size distributions. © 2005 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/82959
ISSN
2015 Impact Factor: 1.378
2015 SCImago Journal Rankings: 1.000
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorYang, Hen_HK
dc.contributor.authorZhang, Len_HK
dc.date.accessioned2010-09-06T08:35:21Z-
dc.date.available2010-09-06T08:35:21Z-
dc.date.issued2005en_HK
dc.identifier.citationInsurance: Mathematics And Economics, 2005, v. 37 n. 3, p. 615-634en_HK
dc.identifier.issn0167-6687en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82959-
dc.description.abstractIn this paper, we study optimal investment policies of an insurer with jump-diffusion risk process. Under the assumptions that the risk process is compound Poisson process perturbed by a standard Brownian motion and the insurer can invest in the money market and in a risky asset, we obtain the close form expression of the optimal policy when the utility function is exponential. We also study the insurer's optimal policy for general objective function, a verification theorem is proved by using martingale optimality principle and Ito's formula for jump-diffusion process. In the case of minimizing ruin probability, numerical methods and numerical results are presented for various claim-size distributions. © 2005 Elsevier B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_HK
dc.relation.ispartofInsurance: Mathematics and Economicsen_HK
dc.subjectHamilton-Jacobi-Bellman equationsen_HK
dc.subjectIto's formulaen_HK
dc.subjectJump-diffusionen_HK
dc.subjectMartingaleen_HK
dc.subjectStochastic controlen_HK
dc.subjectUtilityen_HK
dc.titleOptimal investment for insurer with jump-diffusion risk processen_HK
dc.typeArticleen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.insmatheco.2005.06.009en_HK
dc.identifier.scopuseid_2-s2.0-29144449796en_HK
dc.identifier.hkuros118252en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-29144449796&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume37en_HK
dc.identifier.issue3en_HK
dc.identifier.spage615en_HK
dc.identifier.epage634en_HK
dc.identifier.isiWOS:000233950100012-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridZhang, L=36062387100en_HK

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