Mean-variance portfolio selection for a non-life insurance company
Mean-variance portfolio selection for a non-life insurance company
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DOI：
10.1007/s00186-007-0152-2
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发表时间：
2007-03
影响因子：
1.2
通讯作者：
L. Delong;R. Gerrard
中科院分区：
文献类型：
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作者：
L. Delong;R. Gerrard
我们考虑采用复合 Cox 索赔过程的集体保险风险模型，其中索赔强度的演变由布朗运动驱动的随机微分方程描述。保险公司在一个由具有恒定利息力的无风险资产和价格由利维噪声驱动的风险资产组成的金融市场中运营。我们研究两个优化问题。第一个是经典的均值-方差投资组合选择。在这种情况下，得出有效边界。第二个优化问题，除了均值方差终端目标外，还包括运行成本，惩罚保险公司财富与指定利润偿付能力目标的偏差，这是一个随机过程。为了找到最佳策略，我们应用随机控制理论的技术。
We consider a collective insurance risk model with a compound Cox claim process, in which the evolution of a claim intensity is described by a stochastic differential equation driven by a Brownian motion. The insurer operates in a financial market consisting of a risk-free asset with a constant force of interest and a risky asset which price is driven by a Lévy noise. We investigate two optimization problems. The first one is the classical mean-variance portfolio selection. In this case the efficient frontier is derived. The second optimization problem, except the mean-variance terminal objective, includes also a running cost penalizing deviations of the insurer’s wealth from a specified profit-solvency target which is a random process. In order to find optimal strategies we apply techniques from the stochastic control theory.