Optimal investment and risk control for an insurer under inside information

Xingchun Peng and Wenyuan Wang

Insurance: Mathematics and Economics, 2016, vol. 69, issue C, 104-116

Abstract: 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.

Keywords: Investment; Risk control; Inside information; Forward integral; Enlargement of filtration (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:69:y:2016:i:c:p:104-116

DOI: 10.1016/j.insmatheco.2016.04.008

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