Optimal investment with multiple risky assets for an insurer in an incomplete market
type: Item
instance of: scholarly article
title: Optimal investment with multiple risky assets for an insurer in an incomplete market
zbMATH Open document ID: 1264.91122
DOI: 10.1155/2013/751846
author: Hui Zhao
author: Ximin Rong
author: Jiling Cao
published in: Discrete Dynamics in Nature and Society
publication date: 2013-06-13T00:00:00Z
review text: Summary: This paper studies the optimal investment problem for an insurer in an incomplete market. The insurer's risk process is modeled by a Lévy process and the insurer is supposed to have the option of investing in multiple risky assets whose price processes are described by the standard Black-Scholes model. The insurer aims to maximize the expected utility of terminal wealth. After the market is completed, we obtain the optimal strategies for quadratic utility and constant absolute risk aversion (CARA) utility explicitly via the martingale approach. Finally, computational results are presented for given raw market data.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6175120
Wikidata QID: Q58921808
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2013/751846
OpenAlex ID: W2003587666
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description: scientific article; zbMATH DE number 6175120