Optimal investment for an insurer: The martingale approach
文献类型：期刊论文
| 作者 | Wang, Zengwu; Xia, Jianming ; Zhang, Lihong
|
| 刊名 | INSURANCE MATHEMATICS & ECONOMICS
 |
| 出版日期 | 2007-03-01 |
| 卷号 | 40期号:2页码:322-334 |
| 关键词 | mean-variance efficient portfolio martingale approach forward-backward stochastic differential equation (FBSDE) insurer |
| ISSN号 | 0167-6687 |
| DOI | 10.1016/j.insmatheco.2006.05.003 |
| 英文摘要 | In this paper we apply the martingale approach, which has been widely used in mathematical finance, to investigate the optimal investment problem for an insurer. When the insurer's risk process is modeled by a L6vy process and the capital can be invested in a security market described by the standard Black-Scholes model, closed-form solutions to the problems of mean-variance efficient investment and expected CARA utility maximization are obtained. The effect of the claim process on the mean-variance efficient strategies and frontier is also analyzed. (c) 2006 Elsevier B.V. All rights reserved. |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000243830900011 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/4769]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Xia, Jianming |
| 作者单位 | 1.Chinese Acad Sci, Grad Sch, Beijing 100080, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.Chinese Acad Sci, Ctr Financial Engn & Risk Management, Acad Math & Syst Sci, Beijing 100080, Peoples R China 4.Tsing Hua Univ, Sch Econ & Management, Beijing 100084, Peoples R China |
| 推荐引用方式 GB/T 7714 | Wang, Zengwu,Xia, Jianming,Zhang, Lihong. Optimal investment for an insurer: The martingale approach[J]. INSURANCE MATHEMATICS & ECONOMICS,2007,40(2):322-334. |
| APA | Wang, Zengwu,Xia, Jianming,&Zhang, Lihong.(2007).Optimal investment for an insurer: The martingale approach.INSURANCE MATHEMATICS & ECONOMICS,40(2),322-334. |
| MLA | Wang, Zengwu,et al."Optimal investment for an insurer: The martingale approach".INSURANCE MATHEMATICS & ECONOMICS 40.2(2007):322-334. |
入库方式： OAI收割
来源：数学与系统科学研究院
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