Optimal Investment Policies For An Insurer Facing Different Interest Rates For Saving And Borrowing

As a insurer can invest more of their assets to risk asset, there are more researchers who do research on insurer investment. This paper discussed the optimal investment policies for an insurer facing different interest rates for saving and borrowing.The insurer's choice on investment can be savings, loan and stock trading. According to the fact that the interest rate on loan is higher than the one on savings, we use the theory of stochastic analysis to acquire the optimal policies for the insurer .This paper has three chapters. The first chapter introduce the history of the insurer investment theory and the meanings and purposes of this paper. The second chapter Introduce the key assumptions and two lemma which are very useful below. Chapter three discussed the optimal policies for the insurer under the four different situations. Furthermore, we have strictly proved these conclusions are right.