Optimal Deterministic Investment Strategies for Insurers

Nicole Bäuerle and Ulrich Rieder
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Nicole Bäuerle: Department of Mathematics, Karlsruhe Institute of Technology, Karlsruhe D-76128, Germany
Ulrich Rieder: Department of Optimization and Operations Research, University of Ulm, Ulm D-89069, Germany

Risks, 2013, vol. 1, issue 3, 1-18

Abstract: 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 Lévy process framework.

Keywords: deterministic control problem; mean-variance; risk measure; Lévy process (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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