Optimal Investment For An Insurer Under The Two-Dimensions Risky Assets

The paper studies the optimal investment strategies of an insurance company. Assume that the insurance company has a dual surplus process, and the insurer can invest his reserve into a financial market, which consists of two risky assets and a risk-free asset. The objective of the insurer is to make an optimal investment strategy on different risky assets in order to maximize the expected exponential utility of his terminal wealth at a fixed terminal time or minimize his ruin probability. Based on the explicit solutions, the influence of the dependence each parameter on the optimal dynamic choice is illustrated numerically. By the known results, taking two-dimensional risky assets into consideration combined with dual surplus process and make some practical conclusions. Viewing from the current insurer's investment behavior in the capital market, there exists a strong practical background, in line with the existing investment behavior.