Optimal investment strategy and liability ratio for insurer with Lévy risk process

Yıl 2019, Cilt: 48 Sayı: 4, 1232 - 1249, 08.08.2019

Mustafa Asim Ozalp , Kasirga Yildirak , Yeliz Yolcu Okur

Öz

We investigate an insurer's optimal investment and liability problem by maximizing the expected terminal wealth under different utility functions. The insurer's aggregate claim payments are modeled by a Lévy risk process. We assume that the financial market consists of a riskless and a risky assets. It is also assumed that the insurer's liability is negatively correlated with the return of the risky asset. The closed-form solution for the optimal investment and liability ratio is obtained using Pontryagin's Maximum Principle. Moreover, the solutions of the optimal control problems are examined and compared to the findings where the jump sizes are assumed to be constant.

Anahtar Kelimeler

Lévy risk process, Control theory, Pontryagin’s maximum principle, Optimal investment strategy, Optimal liability ratio

Kaynakça

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