Optimal investment for an insurer: The martingale approach

doi:10.1016/j.insmatheco.2006.05.003

CSpace > 应用数学研究所

	Optimal investment for an insurer: The martingale approach
	Wang, Zengwu ; Xia, Jianming; Zhang, Lihong
	2007-03-01
发表期刊	INSURANCE MATHEMATICS & ECONOMICS
ISSN	0167-6687
卷号	40 期号:2 页码:322-334
摘要	In this paper we apply the martingale approach, which has been widely used in mathematical finance, to investigate the optimal investment problem for an insurer. When the insurer's risk process is modeled by a L6vy process and the capital can be invested in a security market described by the standard Black-Scholes model, closed-form solutions to the problems of mean-variance efficient investment and expected CARA utility maximization are obtained. The effect of the claim process on the mean-variance efficient strategies and frontier is also analyzed. (c) 2006 Elsevier B.V. All rights reserved.
关键词	mean-variance efficient portfolio martingale approach forward-backward stochastic differential equation (FBSDE) insurer
DOI	10.1016/j.insmatheco.2006.05.003
语种	英语
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS记录号	WOS:000243830900011
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/4770
专题	应用数学研究所
通讯作者	Xia, Jianming
作者单位	1.Chinese Acad Sci, Grad Sch, Beijing 100080, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.Chinese Acad Sci, Ctr Financial Engn & Risk Management, Acad Math & Syst Sci, Beijing 100080, Peoples R China 4.Tsing Hua Univ, Sch Econ & Management, Beijing 100084, Peoples R China
推荐引用方式 GB/T 7714	Wang, Zengwu,Xia, Jianming,Zhang, Lihong. Optimal investment for an insurer: The martingale approach[J]. INSURANCE MATHEMATICS & ECONOMICS,2007,40(2):322-334.
APA	Wang, Zengwu,Xia, Jianming,&Zhang, Lihong.(2007).Optimal investment for an insurer: The martingale approach.INSURANCE MATHEMATICS & ECONOMICS,40(2),322-334.
MLA	Wang, Zengwu,et al."Optimal investment for an insurer: The martingale approach".INSURANCE MATHEMATICS & ECONOMICS 40.2(2007):322-334.