Optimal Investment with Multiple Risky Assets for an Insurer in an Incomplete Market. (31st March 2013)

• Record Type: Journal Article
• Authors: Zhao, Hui; Rong, Ximin; Cao, Jiling
• Other Names: Sun Xiaochen Academic Editor.
• Is Part Of: Discrete dynamics in nature and society. Volume 2013(2013)
• Publication Date: 2013-03-31
• Subjects: System analysis -- Periodicals; Dynamics -- Periodicals; Chaotic behavior in systems -- Periodicals; Differentiable dynamical systems -- Periodicals; 003.05
• DOI: 10.1155/2013/751846
• Languages: English
• ISSNs: 1026-0226

Abstract

Abstract : 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.