Optimal Investment with Multiple Risky Assets for an Insurer in an Incomplete Market
نویسندگان
چکیده
This paper studies the optimal investment problem for an insurer in an incompletemarket.The insurer’s risk process ismodeled by a Lévy process and the insurer is supposed to have the option of investing inmultiple risky assets whose price processes are described by the standard Black-Scholes model. The insurer aims to maximize the expected 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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تاریخ انتشار 2014