Optimal investment strategy and liability ratio for insurer with Lévy risk process

MaRDI QIDQ5157685zbMATH OpenFDO

Authors Mustafa Asim Ozalp, Kasirga Yildirak, Yeliz Yolcu Okur

Publication date 19 October 2021

Full work available at URL https://dergipark.org.tr/en/pub/hujms/issue/47862/604514

zbMATH Keywords

control theoryLévy risk processoptimal investment strategyoptimal liability ratioPontryagin's maximum principle

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05) Optimal stochastic control (93E20)

Recommendations

• Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market
• Optimal investment for the insurer in the Lévy market under the mean-variance criterion
• Optimal investment for insurers when the stock price follows an exponential Lévy process
• Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion
• An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process

Cites work

• A note on scale functions and the time value of ruin for Lévy insurance risk processes
• Applied stochastic control of jump diffusions.
• Controlled Markov processes and viscosity solutions
• Explicit solutions of optimal consumption, investment and insurance problems with regime switching
• Financial Modelling with Jump Processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Martingales and arbitrage in multiperiod securities markets
• Optimal investment and risk control policies for an insurer: expected utility maximization
• Optimal investment for an insurer with exponential utility preference
• Optimal investment for an insurer: the martingale approach
• Optimal investment for insurer with jump-diffusion risk process
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Optimal risk and dividend distribution control models for an insurance company
• Optimal stop-loss reinsurance: a dependence analysis
• Stochastic control for optimal new business
• Stochastic optimal control and the U.S. financial debt crisis
• Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
• Unifying framework for optimal insurance

Cited in

(8)

• Optimization problem of insurance investment based on spectral risk measure and RAROC criterion
• Optimal investment for insurers when the stock price follows an exponential Lévy process
• Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market
• Portfolio allocation in a Lévy-type jump-diffusion model with nonlife insurance risk
• A perturbation approach to optimal investment, liability ratio, and dividend strategies
• Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process
• An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
• Asymptotic and numerical analysis of the optimal investment strategy for an insurer

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