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

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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. The effects of market parameters on the optimal strategy are discussed and a numerical example is also given.

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Authors and Affiliations

  1. School of Science, Tianjin University, Tianjin, 300072, China

    Hui Zhao & Ximin Rong

Authors
  1. Hui Zhao
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  2. Ximin Rong
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Additional information

This research is supported by the Natural Science Foundation of Tianjin under Grant No. 09JCYBJC01800.

This paper was recommended for publication by Editor SUN Liuquan.

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Zhao, H., Rong, X. Optimal investment with multiple risky assets for an insurer with modified periodic risk process. J Syst Sci Complex 28, 997–1014 (2015). https://doi.org/10.1007/s11424-014-2176-z

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  • DOI: https://doi.org/10.1007/s11424-014-2176-z

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