EconPapers    
Economics at your fingertips  
 

Expected exponential utility maximization of insurers with a general diffusion factor model: The complete market case

Hiroaki Hata, Shuenn-Jyi Sheu and Li-Hsien Sun

Papers from arXiv.org

Abstract: In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and $m$ risky assets. The mean returns and volatilities of the risky assets depend nonlinearly on economic factors that are formulated as the solutions of general stochastic differential equations. The wealth of the insurer is described by a Cram\'er--Lundberg process, and the insurer preferences are exponential. Adapting a dynamic programming approach, we derive Hamilton--Jacobi--Bellman (HJB) equation. And, we prove the unique solvability of HJB equation. In addition, the optimal strategy is also obtained using the coupled forward and backward stochastic differential equations (FBSDEs). Finally, proving the verification theorem, we construct the optimal strategy.

New Economics Papers: this item is included in nep-upt
Date: 2019-03
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1903.08957 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1903.08957

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2019-04-20
Handle: RePEc:arx:papers:1903.08957