Optimal investment for an insurer in the Lévy market: the martingale approach

DOI10.1016/J.SPL.2009.03.027zbMath1169.91380OpenAlexW2037371179MaRDI QIDQ923862

Qing Zhou

Publication date: 24 July 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.03.027

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (11)

Optimal investment and reinsurance of insurers with lognormal stochastic factor model ⋮ Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model ⋮ Optimal investment of DC pension plan with two VaR constraints ⋮ Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion ⋮ Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model ⋮ Optimal investment strategies for an insurer with liquid constraint ⋮ Optimal investment with multiple risky assets for an insurer in an incomplete market ⋮ Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market ⋮ Optimal investment for an insurer under liquid reserves ⋮ PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK ⋮ Optimal investment and risk control policies for an insurer in an incomplete market

Cites Work

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• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Financial Modelling with Jump Processes
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal Investment for an Insurer to Minimize Its Probability of Ruin
• Optimal investment for insurers

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