Optimal Insurance-Package and Investment Problem for an Insurer
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Delei Sheng
und
Linfang Xing
Abstract
An insurance-package is a combination being tie-in at least two different categories of insurances with different underwriting-yield-rate. In this paper, the optimal insurance-package and investment problem is investigated by maximizing the insurer’s exponential utility of terminal wealth to find the optimal combination-share and investment strategy. Using the methods of stochastic analysis and stochastic optimal control, the Hamilton-Jacobi-Bellman (HJB) equations are established, the optimal strategy and the value function are obtained in closed form. By comparing with classical results, it shows that the insurance-package can enhance the utility of terminal wealth, meanwhile, reduce the insurer’s claim risk.
Supported by Youth Science Fund of Shanxi University of Finance and Economics (QN-2017019)
Acknowledgements
This research was supported by China Postdoctoral Science Foundation Funded Project (2017M611192) and also supported by Youth Science Fund of Shanxi University of Finance and Economics (QN-2017019).
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Artikel in diesem Heft
- A High-Moment Trapezoidal Fuzzy Random Portfolio Model with Background Risk
- Sequential First-Price Auction with Randomly Arriving Buyers
- Worst-Case Investment Strategy with Delay
- Research on Advertising and Pricing in E-Supply Chain Under Different Dominant Modes
- Transient Analysis of a Two-Heterogeneous Severs Queue with Impatient Behaviour and Multiple Vacations
- Optimal Insurance-Package and Investment Problem for an Insurer
