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- Publisher Website: 10.1016/j.insmatheco.2005.06.009
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Article: Optimal investment for insurer with jump-diffusion risk process
Title | Optimal investment for insurer with jump-diffusion risk process |
---|---|
Authors | |
Keywords | Hamilton-Jacobi-Bellman equations Ito's formula Jump-diffusion Martingale Stochastic control Utility |
Issue Date | 2005 |
Publisher | Elsevier 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? |
Abstract | In 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 Identifier | http://hdl.handle.net/10722/82959 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Yang, H | en_HK |
dc.contributor.author | Zhang, L | en_HK |
dc.date.accessioned | 2010-09-06T08:35:21Z | - |
dc.date.available | 2010-09-06T08:35:21Z | - |
dc.date.issued | 2005 | en_HK |
dc.identifier.citation | Insurance: Mathematics And Economics, 2005, v. 37 n. 3, p. 615-634 | en_HK |
dc.identifier.issn | 0167-6687 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/82959 | - |
dc.description.abstract | In 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.language | eng | en_HK |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | en_HK |
dc.relation.ispartof | Insurance: Mathematics and Economics | en_HK |
dc.subject | Hamilton-Jacobi-Bellman equations | en_HK |
dc.subject | Ito's formula | en_HK |
dc.subject | Jump-diffusion | en_HK |
dc.subject | Martingale | en_HK |
dc.subject | Stochastic control | en_HK |
dc.subject | Utility | en_HK |
dc.title | Optimal investment for insurer with jump-diffusion risk process | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_HK |
dc.identifier.authority | Yang, H=rp00826 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.insmatheco.2005.06.009 | en_HK |
dc.identifier.scopus | eid_2-s2.0-29144449796 | en_HK |
dc.identifier.hkuros | 118252 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-29144449796&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 37 | en_HK |
dc.identifier.issue | 3 | en_HK |
dc.identifier.spage | 615 | en_HK |
dc.identifier.epage | 634 | en_HK |
dc.identifier.isi | WOS:000233950100012 | - |
dc.publisher.place | Netherlands | en_HK |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_HK |
dc.identifier.scopusauthorid | Zhang, L=36062387100 | en_HK |
dc.identifier.issnl | 0167-6687 | - |