A BSDE approach to a risk-based optimal investment of an insurer

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dc.contributor.authorElliott, Roberteng
dc.contributor.authorSiu, Tak Kueneng
dc.date.accessioned2012-06-13T21:42:22Z
dc.date.available2012-06-13T21:42:22Z
dc.date.issued2011
dc.descriptionArticle deposited according to publisher policy posted on SHERPA/ROMEO, June 13, 2012.eng
dc.description.abstractWe discuss a backward stochastic differential equation, (BSDE), approach to a risk-based, optimal investment problem of an insurer. A simplified continuous-time economy with two investment vehicles, namely, a fixed interest security and a share, is considered. The insurer’s risk process is modeled by a diffusion approximation to a compound Poisson risk process. The goal of the insurer is to select an optimal portfolio so as to minimize the risk described by a convex risk measure of his/her terminal wealth. The optimal investment problem is then formulated as a zero-sum stochastic differential game between the insurer and the market. The BSDE approach is used to solve the game problem. It leads to a simple and natural approach for the existence and uniqueness of an optimal strategy of the game problem without Markov assumptions. Closed-form solutions to the optimal strategies of the insurer and the market are obtained in some particular cases.eng
dc.description.refereedYeseng
dc.identifier.citationRobert J. Elliott, Tak Kuen Siu, A BSDE approach to a risk-based optimal investment of an insurer, Automatica, Volume 47, Issue 2, February 2011, Pages 253-261.eng
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/34054
dc.identifier.issn0005-1098
dc.identifier.urihttp://hdl.handle.net/1880/48999
dc.language.isoengeng
dc.publisherElseviereng
dc.publisher.corporateUniversity of Calgaryeng
dc.publisher.facultyHaskayne School of Businesseng
dc.publisher.hasversionPost-print
dc.publisher.urlhttp://www.journals.elsevier.com/automatica/eng
dc.subjectBackward stochastic differential equationeng
dc.subjectOptimal investmenteng
dc.subject.otherInsurance companyeng
dc.subject.otherConvex risk measureeng
dc.subject.otherDiffusion approximationeng
dc.subject.otherZero-sum stochastic differential gameeng
dc.subject.otherExistence and uniqueness of optimal strategieseng
dc.titleA BSDE approach to a risk-based optimal investment of an insurereng
dc.typejournal articleeng
thesis.degree.disciplineFinanceeng
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