Optimal investment and risk control for an insurer with stochastic factor

被引：16
|
作者：
Bo, Lijun [1 ,2 ]
Wang, Shihua [1 ]
机构：
[1] Univ Sci & Technol China, Sch Math Sci, Hefei 230026, Anhui, Peoples R China
[2] Chinese Acad Sci, Wu Wen Tsun Key Lab Math, Hefei 230026, Anhui, Peoples R China
来源：
OPERATIONS RESEARCH LETTERS | 2017年 / 45卷 / 03期
关键词：
Optimal investment; Risk control; Jump-diffusion; HJB PDE; POWER UTILITY MAXIMIZATION;
D O I：
10.1016/j.orl.2017.04.002
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
We study an optimal investment and risk control problem for an insurer under stochastic factor. The insurer allocates his wealth across a riskless bond and a risky asset whose drift and volatility depend on a factor process. The risk process is modeled by a jump-diffusion with state-dependent jump measure. By maximizing the expected power utility of the terminal wealth, we characterize the optimal strategy of investment and risk control, analyze classical solutions of HJB PDE and prove the verification theorem. (C) 2017 Elsevier B.V. All rights reserved.
引用
收藏
页码：259 / 265
页数：7
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