Artikel
Optimal deterministic investment strategies for insurers
We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black-Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that investment strategies have to be deterministic. This leads to deterministic control problems, which are quite easy to solve. Moreover, it turns out that there are some interesting links between the optimal investment strategies of these problems. Finally, we also show that this approach works in the L'evy process framework.
- Sprache
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Englisch
- Erschienen in
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 1 ; Year: 2013 ; Issue: 3 ; Pages: 101-118 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
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deterministic control problem
mean-variance
risk measure
Lévy process
- Ereignis
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Geistige Schöpfung
- (wer)
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Bäuerle, Nicole
Rieder, Ulrich
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2013
- DOI
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doi:10.3390/risks1030101
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Bäuerle, Nicole
- Rieder, Ulrich
- MDPI
Entstanden
- 2013
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