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Optimal Investment And Risk Control Strategies For An Insurer Under The Framework Of Expected Utility Functions

Posted on:2017-05-02Degree:MasterType:Thesis
Country:ChinaCandidate:T Y WangFull Text:PDF
GTID:2279330503967074Subject:Science
Abstract/Summary:PDF Full Text Request
In the past two decades,more and more attention has been paid to the problem of optimal investment in financial market for an insurer.The main investment tools for an insurer are securities and derivatives, and the way to transform the claim is reinsurance.Studying the optimal investment and risk control in the financial market is very important for an insurer.In this paper,we consider an insurer who wants to maximize its expected utility of terminal wealth by selecting optimal investment and risk control strategies and obtain the explicit solution for the optimal investment and risk control.Specifically,the risk process is modeled by a classical jump-diffusion process and is negatively correlated with the returns of securities and derivatives in the financial market. With the condition that a part of insurers’ wealth will to invest, we research the optimal investment and risk control strategies.For logarithmic utility function and exponential utility function,we obtain explicit solutions by a martingale approach.Furthermore,according to the optimal strategies,we have a sensitive analysis about the influence of market parameters on the optimal strategies. The results show that the optimal investment and the risk management not only have relation with financial market but also closely related to the level of risk aversion.
Keywords/Search Tags:Jump-diffusion process, Expected utility functions maximization, Martingale approach, The optimal investment and risk control strategies, Sensitive analysis
PDF Full Text Request
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