摘要
In this paper, we consider an insurer who wants to maximize its expected utility of terminal wealth by selecting optimal investment and risk control strategies. The insurer’s risk process is modeled by a jump-diffusion process and is negatively correlated with the returns of securities and derivatives in the financial market. In the financial model, a part of insurers’ wealth is invested into the financial market. Using a martingale approach, we obtain an explicit solution of optimal strategy for the insurer under logarithmic utility function.
In this paper, we consider an insurer who wants to maximize its expected utility of terminal wealth by selecting optimal investment and risk control strategies. The insurer’s risk process is modeled by a jump-diffusion process and is negatively correlated with the returns of securities and derivatives in the financial market. In the financial model, a part of insurers’ wealth is invested into the financial market. Using a martingale approach, we obtain an explicit solution of optimal strategy for the insurer under logarithmic utility function.
作者
Tingyun Wang
Tingyun Wang(Department of Statistics, Jinan University, Guangzhou, China)
