Optimal investment strategy for a non-life insurance company: quadratic loss

• Autorzy: Łukasz Delong
• Języki publikacji: EN

Abstrakty

EN

The aim of this paper is to construct an optimal investment strategy for a non-life insurance business. We consider an insurance company which provides, in exchange for a single premium, full coverage to a portfolio of risks which generates losses according to a compound Poisson process. The insurer invests the premium and trades continuously on the financial market which consists of one risk-free asset and n risky assets (Black-Scholes market). We deal with the insurer's wealth path dependent disutility optimization problem and apply a quadratic loss function which penalizes deviations below a reserve for outstanding liabilities as well as above a given upper barrier. An optimal investment strategy is derived using stochastic control theory in the absence of constraints on control variables. Some properties of the strategy and the behaviour of the insurer's wealth under the optimal control are investigated. The set up of our model is more general, as it can also be used in non-life loss reserving problems.

Kategorie tematyczne

• 93E20: Optimal stochastic control
• 91B30: Risk theory, insurance

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2005
• Tom: 32
• Numer: 3
• Strony: 263-277

Daty

wydano

2005

Twórcy

autor

Łukasz Delong

• Division of Probabilistic Methods, Institute of Econometrics, Warsaw School of Economics, Al. Niepodległości 162, 02-554 Warszawa, Poland

Identyfikatory

DOI

10.4064/am32-3-2