Optimal investment strategies for an insurer with liquid constraint

被引：0
|
作者：
Yuan, Haili [1 ]
Hu, Yijun [1 ]
机构：
[1] Wuhan Univ, Sch Math & Stat, Wuhan, Hubei, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2023年 / 52卷 / 07期
基金：
中国国家自然科学基金;
关键词：
insurance risk model; Levy process; liquid constraint; CARA utility; quadratic utility; POISSON SURPLUS MODEL; PORTFOLIO SELECTION; RISK CONTROL; LEVY MARKET; RUIN; MARTINGALE; UTILITY; TIME; RESERVES; POLICIES;
D O I：
10.1080/03610926.2021.1945634
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In the present paper, we investigate the optimal investment strategies for an insurer with the liquid constraint. The insurer's surplus is modeled by a Levy process. The insurer can invest in N risky assets and a risk-free asset. However, in reality, the insurer needs to keep partial amount of his wealth as liquid reserves to meet with the management, which is called as the liquid constraint. We assume that the liquid reserve is a proportion of the insurer's wealth. Using the martingale approach, we derive the explicit optimal investment strategies for both CARA and quadratic utilities.
引用
收藏
页码：2198 / 2214
页数：17
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