• Title of article

    Optimal investment for insurers when the stock price follows an exponential Lévy process

  • Author/Authors

    Kostadinova، نويسنده , , Radostina، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2007
  • Pages
    14
  • From page
    250
  • To page
    263
  • Abstract
    We consider a stochastic model for the wealth of an insurance company which has the possibility to invest into a risky and a riskless asset under a constant mix strategy. The total claim amount is modeled by a compound Poisson process and the price of the risky asset follows a general exponential Lévy process. We investigate the resulting reserve process and the corresponding discounted net loss process. This opens up a way to measure the risk of a negative outcome of the reserve process in a stationary way. We provide an approximation of the optimal investment strategy which maximizes the expected wealth of the insurance company under a risk constraint on the Value-at-Risk. We conclude with some examples.
  • Keywords
    Pareto tail approximation , Value-at-risk (VaR) , Discounted net loss process , Exponential Lévy process , Reserve process , Integrated Risk Management , Optimal portfolio
  • Journal title
    Insurance Mathematics and Economics
  • Serial Year
    2007
  • Journal title
    Insurance Mathematics and Economics
  • Record number

    1543353