OPTIMAL INVESTMENT AND RISK CONTROL PROBLEMS WITH DELAY FOR AN INSURER IN DEFAULTABLE MARKET

被引：0
|
作者：
Deng, Chao [1 ]
Yao, Haixiang [1 ]
Chen, Yan [2 ,3 ]
机构：
[1] Guangdong Univ Foreign Studies, Sch Finance, Guangzhou 510006, Peoples R China
[2] Hunan Univ Commerce, Inst Big Data & Internet Innovat, Changsha 410205, Peoples R China
[3] Cent South Univ, Business Sch, Changsha 410012, Peoples R China
来源：
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2020年 / 16卷 / 05期
基金：
中国国家自然科学基金;
关键词：
Default risk; investment strategy; risk control; Hamilton-Jacobi-Bellman equation; bounded memory; STOCHASTIC PORTFOLIO OPTIMIZATION; OPTIMAL REINSURANCE; MODEL; UTILITY; PROBABILITY; POLICIES; TIME;
D O I：
10.3934/jimo.2019070
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This paper addresses a investment and risk control problem with a delay for an insurer in the defaultable market. Suppose that an insurer can invest in a risk-free bank account, a risky stock and a defaultable bond. Taking into account the history of the insurer's wealth performance, the controlled wealth process is governed by a stochastic delay differential equation. The insurer's goal is to maximize the expected exponential utility of the combination of terminal wealth and average performance wealth. We decompose the original optimization problem into two subproblems: a pre-default case and a post-default case. The explicit solutions in a finite dimensional space are derived for a illustrative situation, and numerical illustrations and sensitivity analysis for our results are provided.
引用
收藏
页码：2563 / 2579
页数：17
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