Optimal investment and risk control for an insurer under inside information

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• 作者：Xingchun Peng^a ; ^{pxch@whut.edu.cn" class="auth_mail" title="E-mail the corresponding author} ; Wenyuan Wang^b ; ^{wwywang@xmu.edu.cn" class="auth_mail" title="E-mail the corresponding author}
• 关键词：97M30 ; 91B70 ; 60H30
• 刊名：Insurance: Mathematics and Economics
• 出版年：2016
• 出版时间：July 2016
• 年：2016
• 卷：69
• 期：Complete
• 页码：104-116
• 全文大小：538 K

文摘

This paper is devoted to the study of the optimal investment and risk control strategy for an insurer who has some inside information on the financial market and the insurance business. The insurer’s risk process and the risky asset process in the financial market are assumed to be very general jump diffusion processes. The two processes are supposed to be correlated. Under the criterion of logarithmic utility maximization of the terminal wealth, we solve our problem by using forward integral approach. Some interesting particular cases are studied in which the explicit expressions of the optimal strategy are derived by using enlargement of filtration techniques.