Optimal Investment with Multiple Risky Assets for an Insurer in an Incomplete Market | Zendy

Hui Zhao | Zendy; Ximin Rong | Zendy; Jiling Cao | Zendy

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Optimal Investment with Multiple Risky Assets for an Insurer in an Incomplete Market

Author(s) -

Hui Zhao,

Ximin Rong,

Jiling Cao

Publication year - 2013

Publication title -

discrete dynamics in nature and society

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.264

H-Index - 39

eISSN - 1607-887X

pISSN - 1026-0226

DOI - 10.1155/2013/751846

Subject(s) - expected utility hypothesis , martingale (probability theory) , incomplete markets , investment (military) , economics , actuarial science , econometrics , market price , microeconomics , mathematical economics , mathematics , statistics , politics , political science , law

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 theexpected 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

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