| Optimal investment for an insurer: The martingale approach | |
| Wang, Zengwu ; Xia, Jianming ; Zhang, Lihong | |
| 2010-05-11 ; 2010-05-11 | |
| 关键词 | mean-variance efficient portfolio martingale approach forward-backward stochastic differential equation (FBSDE) insurer VARIANCE PORTFOLIO SELECTION RISK PROCESS UTILITY MARKET Economics Mathematics, Interdisciplinary Applications Social Sciences, Mathematical Methods Statistics & Probability |
| 中文摘要 | In this paper we apply the martingale approach, which has been widely used in mathematical finance, to investigate the optimal investment problem for an insurer. When the insurer's risk process is modeled by a L6vy process and the capital can be invested in a security market described by the standard Black-Scholes model, closed-form solutions to the problems of mean-variance efficient investment and expected CARA utility maximization are obtained. The effect of the claim process on the mean-variance efficient strategies and frontier is also analyzed. (c) 2006 Elsevier B.V. All rights reserved. |
| 语种 | 英语 ; 英语 |
| 出版者 | ELSEVIER SCIENCE BV ; AMSTERDAM ; PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS |
| 内容类型 | 期刊论文 |
| 源URL | [http://hdl.handle.net/123456789/26184]  |
| 专题 | 清华大学 |
| 推荐引用方式 GB/T 7714 | Wang, Zengwu,Xia, Jianming,Zhang, Lihong. Optimal investment for an insurer: The martingale approach[J],2010, 2010. |
| APA | Wang, Zengwu,Xia, Jianming,&Zhang, Lihong.(2010).Optimal investment for an insurer: The martingale approach.. |
| MLA | Wang, Zengwu,et al."Optimal investment for an insurer: The martingale approach".(2010). |
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