Portfolio Selection and Risk Control for an Insurer With Uncertain Time Horizon and Partial Information in an Anticipating Environment

Fenge Chen (), Bing Li () and Xingchun Peng ()
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Fenge Chen: Wuhan University of Technology
Bing Li: Wuhan University of Technology
Xingchun Peng: Wuhan University of Technology

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 2, 635-659

Abstract: Abstract This paper is devoted to the study of an optimal investment and risk control problem for an insurer. The risky asset process and the insurance liability process are governed by stochastic differential equations with jumps and anticipative parameters. The insurer can only get access to partial information about the financial market and the insurance business to make decisions. Taking into account endogenous and exogenous factors, we assume the time horizon is uncertain. With the aim of expected logarithmic utility maximization, we adopt the forward stochastic calculus and the Malliavin calculus to derive a characterization of the optimal strategy. In some particular cases, we obtain the optimal strategies in closed-form and get some new insights.

Keywords: Investment; Risk control; Uncertain time horizon; Partial information; Anticipative parameters; 97M30; 91G80; 93E20; 60H30 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11009-022-09941-6

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