Stochastic differential portfolio games for an insurer in a jump-diffusion risk process (Q1935921): Difference between revisions
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Revision as of 19:09, 19 March 2024
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English | Stochastic differential portfolio games for an insurer in a jump-diffusion risk process |
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Stochastic differential portfolio games for an insurer in a jump-diffusion risk process (English)
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20 February 2013
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The authors employ a game-theoretic approach to study optimal portfolio selection for an insurer acting in a standard Black-Scholes financial market while the risk process of the insurer is described by a jump-diffusion process. The problem is formulated as a two-person zero-sum stochastic differential game between the insurer and the market, where the former selects an optimal portfolio strategy maximizing an expected utility measured by the terminal surplus while the market ``tries'' to minimize such maximal expected utility. The authors solve the problem relying on stochastic linear-quadratic control technique.
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jump-diffusion risk process
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stochastic game
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optimal portfolio
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diffusion approximation
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