Academic Journal
Optimal investment strategy for a non-life insurance company: quadratic loss
| العنوان: | Optimal investment strategy for a non-life insurance company: quadratic loss |
|---|---|
| المؤلفون: | Łukasz Delong |
| المساهمون: | The Pennsylvania State University CiteSeerX Archives |
| المصدر: | http://akson.sgh.waw.pl/delong/quadratic loss.pdf. |
| سنة النشر: | 2005 |
| المجموعة: | CiteSeerX |
| مصطلحات موضوعية: | Lévy-type stochastic integrals |
| الوصف: | The aim of this paper is to construct an optimal investment strategy for a non-life insurance business. We consider an insurance company which provides, in exchange for a single premium, full coverage to a portfolio of risks which generates losses according to a compound Poisson process. The insurer invests the premium and trades contin-uously on the financial market which consists of one risk-free asset and n risky assets (Black-Scholes market). We deal with the insurer’s wealth path dependent disutility optimization problem and apply a quadratic loss function which penalizes deviations below a reserve for outstanding liabilities as well as above a given upper barrier. An opti-mal investment strategy is derived using the stochastic control theory in the absence of constraints on control variables. Some properties of the strategy and the behaviour of the insurer’s wealth under the optimal control are investigated. The set up of our model is more general, as it can also be used in non-life loss reserving problems. |
| نوع الوثيقة: | text |
| وصف الملف: | application/pdf |
| اللغة: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.534.4487; http://akson.sgh.waw.pl/delong/quadratic loss.pdf |
| الاتاحة: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.534.4487 http://akson.sgh.waw.pl/delong/quadratic loss.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| رقم الانضمام: | edsbas.930B9E29 |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |