Optimal investment with multiple risky assets for an insurer with modified periodic risk process

Hits:

Affiliation of Author(s):School of Sciences

Journal:JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY

Place of Publication:China

Key Words:Adjustment coefficient; modified periodic risk model; multiple risky assets; optimal investment; rui

Abstract:This paper considers the optimal investment problem for an insurer in the sense of maximizing the adjustment coefficient of the risk process. The authors propose a modified periodic risk model in which the periodic risk process is perturbed by a standard Brownian motion. The insurer caninvest in multiple risky assets and one risk-free asset and the correlations between the risky assets and the risk process are considered. Optimal strategy is obtained explicitly, which is a function of time and related to the risk process.

All the Authors:Zhao Hui, Rong Ximin

First Author:Zhao Hui

Indexed by:Unit Twenty Basic Research

Correspondence Author:Zhao Hui

Document Code:SCI: CL3AL

Volume:28

Issue:4

Page Number:997-1014

ISSN No.:1009-6124

Translation or Not:no