Name
Abstract | ||
|---|---|---|
We discuss a backward stochastic differential equation, (BSDE), approach to a risk-based, optimal investment problem of an insurer. A simplified continuous-time economy with two investment vehicles, namely, a fixed interest security and a share, is considered. The insurer's risk process is modeled by a diffusion approximation to a compound Poisson risk process. The goal of the insurer is to select an optimal portfolio so as to minimize the risk described by a convex risk measure of his/her terminal wealth. The optimal investment problem is then formulated as a zero-sum stochastic differential game between the insurer and the market. The BSDE approach is used to solve the game problem. It leads to a simple and natural approach for the existence and uniqueness of an optimal strategy of the game problem without Markov assumptions. Closed-form solutions to the optimal strategies of the insurer and the market are obtained in some particular cases. |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1016/j.automatica.2010.10.032 | Automatica |
Keywords | Field | DocType |
Backward stochastic differential equation,Optimal investment,Insurance company,Convex risk measure,Diffusion approximation,Zero-sum stochastic differential game,Existence and uniqueness of optimal strategies | Mathematical optimization,Mathematical economics,Markov process,Project portfolio management,Differential game,Stochastic differential equation,Risk management,Game theory,Zero-sum game,Risk measure,Mathematics | Journal |
Volume | Issue | ISSN |
47 | 2 | Automatica |
Citations | PageRank | References |
6 | 0.56 | 5 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Robert J. Elliott | 1 | 333 | 50.13 |
| Tak Kuen Siu | 2 | 114 | 20.25 |