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
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