Optimal reinsurance and investment via stochastic projected gradient method based on Malliavin calculus

Yuta Otsuki and Shotaro Yagishita

Papers from arXiv.org

Abstract: This paper proposes a new approach using the stochastic projected gradient method and Malliavin calculus for optimal reinsurance and investment strategies. Unlike traditional methodologies, we aim to optimize static investment and reinsurance strategies by directly minimizing the ruin probability. Furthermore, we provide a convergence analysis of the stochastic projected gradient method for general constrained optimization problems whose objective function has H\"older continuous gradient. Numerical experiments show the effectiveness of our proposed method.

Date: 2024-11
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2411.05417 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:2411.05417

Access Statistics for this paper

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