Optimal Investment Policy for Insurers Under the Constant Elasticity of Variance Model

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ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Optimal Investment Policy for Insurers Under the Constant Elasticity of Variance Model by : Xiaotao Liu

Download or read book Optimal Investment Policy for Insurers Under the Constant Elasticity of Variance Model written by Xiaotao Liu and published by . This book was released on 2018 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: We solve in explicit form the optimal portfolio choice problem for an insurer with negative exponential utility over terminal wealth under the constant elasticity of variance (CEV) price model. The surplus process is assumed to follow a Brownian motion with drift and whose risk is correlated with the Brownian motion driving the risky assets. We first derive the corresponding Hamilton-Jacobi-Bellman (HJB) equation, and then simplify it into two parabolic partial differential equations (PDEs) via the variable change techniques. Finally, by the Feynman-Kac formula we solve the two PDEs and obtain the explicit solution of value function as well as the optimal investment policy. We identify four independent components of the optimal investment policy: the myopic, dynamic, static, and delta hedging demands. Previous literature, besides the myopic investment demands, in contrast, only determines either dynamic or static hedge demands, but not the both, not to mention the delta hedge demands. The delta hedging demands can be expressed as integrals of confluent hypergeometric function. We demonstrate that the static hedging demands are to hedge against the hedgeable risk of the surplus and the delta hedging demands further help to reduce the time-varying risk of the static hedged surplus process. Asymptotic analysis shows that as the variance elasticity parameter approaches to zero, both the dynamic and delta hedging demands vanish.

The Constant Elasticity of Variance Model in the Framework of Optimal Investment Problems

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ISBN 13 :
Total Pages : 103 pages
Book Rating : 4.:/5 (254 download)

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Book Synopsis The Constant Elasticity of Variance Model in the Framework of Optimal Investment Problems by : Dries Darius

Download or read book The Constant Elasticity of Variance Model in the Framework of Optimal Investment Problems written by Dries Darius and published by . This book was released on 2005 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Optimal Reinsurance and Investment Problem With Default Risk and Bounded Memory

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ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Optimal Reinsurance and Investment Problem With Default Risk and Bounded Memory by : Chao Deng

Download or read book Optimal Reinsurance and Investment Problem With Default Risk and Bounded Memory written by Chao Deng and published by . This book was released on 2018 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers an insurer with CARA preference and explores an reinsurance-investment optimization problem where the insurer's income is related to the historical wealth performance. The insurer can purchase proportional reinsurance contracts to transfer the claim risk and allocate the remaining liquid wealth in a saving account, a defaultable corporate zero coupon bond and a risky asset with constant elasticity of variance (CEV) stochastic volatility. The problem is modeled using a stochastic system with delay. Under certain condition, the analytic optimal reinsurance-investment policy is derived and the corresponding verification theorem is provided. Finally, we conduct sensitivity analysis on the optimal reinsurance-investment policies over different memory parameters. The results show that longer memory leads to more prudent reinsurance and investment decisions for the insurer.

Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models

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ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models by : Hui Zhao

Download or read book Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models written by Hui Zhao and published by . This book was released on 2017 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present paper studies time-consistent solutions to an investment-reinsurance problem under a mean-variance framework. The paper is distinguished from other literature by taking into account the interests of both an insurer and a reinsurer jointly. The claim process of the insurer is governed by a Brownian motion with a drift. A proportional reinsurance treaty is considered and the premium is calculated according to the expected value principle. Both the insurer and the reinsurer are assumed to invest in a risky asset, which is distinct for each other and driven by a constant elasticity of variance model. The optimal decision is formulated on a weighted sum of the insurer's and the reinsurer's surplus processes. Upon a verification theorem, which is established with a formal proof for a more general problem, explicit solutions are obtained for the proposed investment-reinsurance model. Moreover, numerous mathematical analysis and numerical examples are provided to demonstrate those derived results as well as the economic implications behind.

Optimal Decision on Dynamic Insurance Price and Investment Portfolio of an Insurer in a Competitive Market

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ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Optimal Decision on Dynamic Insurance Price and Investment Portfolio of an Insurer in a Competitive Market by : Krzysztof Ostaszewski

Download or read book Optimal Decision on Dynamic Insurance Price and Investment Portfolio of an Insurer in a Competitive Market written by Krzysztof Ostaszewski and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, we establish a model of insurance pricing with the assumptions that the insurance price, investment returns and insured losses are correlated stochastic processes, while also considering the affect of the demand on the price. The objective of the pricing model is to maximize the expected utility of the terminal wealth of an insurer. We construct a Hamilton-Jacobi-Bellman (HJB) equation and determine the optimal price of an insurance product and optimal investment portfolio of an insurer simultaneously by solving that HJB equation. We also carry out sensitivity analysis. The results of our analysis show that elasticity of insurance demand greatly affects the optimal solutions. Notably, quantity of insurance demanded affects the optimal allocation to risky assets in the insurer's investment portfolio. Therefore, the demand function for insurance must be considered in management of insurance firm. Our results also show that the drift and volatility of the process of insurance price will affect the investment strategy, in addition to the effect of the drift and volatility of investment process itself. Finally, the drift and volatility of investment stochastic process will affect the insurance price in the cases when the elasticity of demand is large, but that influence is negligible with small elasticity of demand.

Time-Consistent Mean-Variance Reinsurance-Investment Problems Under Unbounded Random Parameters

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ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Time-Consistent Mean-Variance Reinsurance-Investment Problems Under Unbounded Random Parameters by : Bingyan Han

Download or read book Time-Consistent Mean-Variance Reinsurance-Investment Problems Under Unbounded Random Parameters written by Bingyan Han and published by . This book was released on 2019 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: To strike the best balance between insurance risk and profit, insurers transfer insurable risk through reinsurance and enhance yield by participating into the financial market. The long-term commitment of insurance contracts makes insurers necessary to consider time-consistent (TC) reinsurance-investment policies. Using the open-loop TC mean-variance (MV) reinsurance-investment framework, we investigate the equilibrium reinsurance-investment problems for the financial market with unbounded random coefficients or, specifically, an unbounded risk premium. We characterize the problem via a backward stochastic differential equation (BSDE) framework. An explicit solution to the equilibrium strategies is derived for a constant risk aversion under a general class of stochastic models, embracing the constant elasticity of variance (CEV) and Ornstein-Uhlenbeck (OU) processes as special cases. For state-dependent risk aversions, the problem is related to the existence of a solution to a quadratic BSDE with unbounded parameters. A semi-closed form solution is derived, up to the solution to a nonlinear partial differential equation. By examining properties of the equilibrium strategies numerically, we find that the reinsurance decision is greatly affected by the market situation under the state-dependent risk aversion case. We prove the uniqueness of equilibrium strategies for both cases.

Handbook of Quantitative Finance and Risk Management

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Publisher : Springer Science & Business Media
ISBN 13 : 0387771174
Total Pages : 1700 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Quantitative Finance and Risk Management by : Cheng-Few Lee

Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

Risk Analysis and Portfolio Modelling

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Publisher : MDPI
ISBN 13 : 3039216244
Total Pages : 224 pages
Book Rating : 4.0/5 (392 download)

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Book Synopsis Risk Analysis and Portfolio Modelling by : Elisa Luciano

Download or read book Risk Analysis and Portfolio Modelling written by Elisa Luciano and published by MDPI. This book was released on 2019-10-16 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

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Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Applications of Stochastic Optimal Control to Economics and Finance

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ISBN 13 : 9783039360581
Total Pages : 206 pages
Book Rating : 4.3/5 (65 download)

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Book Synopsis Applications of Stochastic Optimal Control to Economics and Finance by : Salvatore Federico

Download or read book Applications of Stochastic Optimal Control to Economics and Finance written by Salvatore Federico and published by . This book was released on 2020-06-23 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal individual consumption and retirement choices, optimal management of portfolios and risk, hedging, optimal timing issues in pricing American options, and investment decisions. Stochastic control theory provides the methods and results to tackle all such problems. This book is a collection of the papers published in the Special Issue "Applications of Stochastic Optimal Control to Economics and Finance", which appeared in the open access journal Risks in 2019. It contains seven peer-reviewed papers dealing with stochastic control models motivated by important questions in economics and finance. Each model is rigorously mathematically funded and treated, and the numerical methods are employed to derive the optimal solution. The topics of the book's chapters range from optimal public debt management to optimal reinsurance, real options in energy markets, and optimal portfolio choice in partial and complete information settings. From a mathematical point of view, techniques and arguments of dynamic programming theory, filtering theory, optimal stopping, one-dimensional diffusions and multi-dimensional jump processes are used.

Evaluating the Financial Performance of Pension Funds

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Publisher : World Bank Publications
ISBN 13 : 0821381601
Total Pages : 300 pages
Book Rating : 4.8/5 (213 download)

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Book Synopsis Evaluating the Financial Performance of Pension Funds by : Richard Hinz

Download or read book Evaluating the Financial Performance of Pension Funds written by Richard Hinz and published by World Bank Publications. This book was released on 2010-01-14 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: Countries around the world are increasingly relying on individual pension savings accounts to provide income in old age for their citizens. Although these funds have now been in place for several decades, their performance is usually measured using methods that are not meaningful in relation to this long-term objective. The recent global financial crisis has highlighted the need to develop better performance evaluation methods that are consistent with the retirement income objective of pension funds. Compiling research derived from a partnership among the World Bank, the Organisation for Economic Co-operation and Development (OECD), and three private partners, 'Evaluating the Financial Performance of Pension Funds' discusses the theoretical basis and key implementation issues related to the design of performance benchmarks based on life-cycle savings and investment principles. The book begins with an evaluation of the financial performance of funded pension systems using the standard mean variance framework. It then provides a discussion of the limitations inherent to applying these methods to pension funds and outlines the many other issues that should be addressed in developing more useful and meaningful performance measures through the formulation of pension-specific benchmark portfolios. Practical implementation issues are addressed through empirical examples of how such benchmarks could be developed. The book concludes with commentary and observations from several noted pension experts about the need for a new approach to performance measurement and the impact of the recent global financial crisis on pension funds.

Pain Management and the Opioid Epidemic

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Publisher : National Academies Press
ISBN 13 : 0309459575
Total Pages : 483 pages
Book Rating : 4.3/5 (94 download)

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Book Synopsis Pain Management and the Opioid Epidemic by : National Academies of Sciences, Engineering, and Medicine

Download or read book Pain Management and the Opioid Epidemic written by National Academies of Sciences, Engineering, and Medicine and published by National Academies Press. This book was released on 2017-09-28 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drug overdose, driven largely by overdose related to the use of opioids, is now the leading cause of unintentional injury death in the United States. The ongoing opioid crisis lies at the intersection of two public health challenges: reducing the burden of suffering from pain and containing the rising toll of the harms that can arise from the use of opioid medications. Chronic pain and opioid use disorder both represent complex human conditions affecting millions of Americans and causing untold disability and loss of function. In the context of the growing opioid problem, the U.S. Food and Drug Administration (FDA) launched an Opioids Action Plan in early 2016. As part of this plan, the FDA asked the National Academies of Sciences, Engineering, and Medicine to convene a committee to update the state of the science on pain research, care, and education and to identify actions the FDA and others can take to respond to the opioid epidemic, with a particular focus on informing FDA's development of a formal method for incorporating individual and societal considerations into its risk-benefit framework for opioid approval and monitoring.

Economic and Financial Decisions under Risk

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Publisher : Princeton University Press
ISBN 13 : 1400829216
Total Pages : 245 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Economic and Financial Decisions under Risk by : Louis Eeckhoudt

Download or read book Economic and Financial Decisions under Risk written by Louis Eeckhoudt and published by Princeton University Press. This book was released on 2011-10-30 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: An understanding of risk and how to deal with it is an essential part of modern economics. Whether liability litigation for pharmaceutical firms or an individual's having insufficient wealth to retire, risk is something that can be recognized, quantified, analyzed, treated--and incorporated into our decision-making processes. This book represents a concise summary of basic multiperiod decision-making under risk. Its detailed coverage of a broad range of topics is ideally suited for use in advanced undergraduate and introductory graduate courses either as a self-contained text, or the introductory chapters combined with a selection of later chapters can represent core reading in courses on macroeconomics, insurance, portfolio choice, or asset pricing. The authors start with the fundamentals of risk measurement and risk aversion. They then apply these concepts to insurance decisions and portfolio choice in a one-period model. After examining these decisions in their one-period setting, they devote most of the book to a multiperiod context, which adds the long-term perspective most risk management analyses require. Each chapter concludes with a discussion of the relevant literature and a set of problems. The book presents a thoroughly accessible introduction to risk, bridging the gap between the traditionally separate economics and finance literatures.

Aspects of Risk Theory

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Publisher : Springer Science & Business Media
ISBN 13 : 1461390583
Total Pages : 186 pages
Book Rating : 4.4/5 (613 download)

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Book Synopsis Aspects of Risk Theory by : Jan Grandell

Download or read book Aspects of Risk Theory written by Jan Grandell and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk theory, which deals with stochastic models of an insurance business, is a classical application of probability theory. The fundamental problem in risk theory is to investigate the ruin possibility of the risk business. Traditionally the occurrence of the claims is described by a Poisson process and the cost of the claims by a sequence of random variables. This book is a treatise of risk theory with emphasis on models where the occurrence of the claims is described by more general point processes than the Poisson process, such as renewal processes, Cox processes and general stationary point processes. In the Cox case the possibility of risk fluctuation is explicitly taken into account. The presentation is based on modern probabilistic methods rather than on analytic methods. The theory is accompanied with discussions on practical evaluation of ruin probabilities and statistical estimation. Many numerical illustrations of the results are given.

Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets

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Publisher : Springer Science & Business Media
ISBN 13 : 9783540212300
Total Pages : 190 pages
Book Rating : 4.2/5 (123 download)

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Book Synopsis Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets by : Holger Kraft

Download or read book Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets written by Holger Kraft and published by Springer Science & Business Media. This book was released on 2004-04-13 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: The continuous-time portfolio problem consists of finding the optimal investment strategy of an investor. In the classical Merton problem the investor can allocate his funds to a riskless savings account and risky assets. However, to get explicit results, it is assumed that the interest rates are deterministic and that the assets are default free. In this monograph both assumptions are weakened: The author analyzes and solves portfolio problems with stochastic interest rates and with defaultable assets. Besides, he briefly discusses how portfolio problems with foreign assets can be handled. The focus of the monograph is twofold: On the one hand, the economical problems are carefully explained, on the other hand their formal solution is rigorously presented. For this reason the text should be of interest to researchers with a Finance background as well as to researchers with a more formal background who would like to see how mathematics is applied to portfolio theory. TOC:Preliminaries from Stochastics.- Optimal Portfolios with Stochastic Interest Rates.- Elasticity Approach to Portfolio Optimization.- Barrier Derivatives with Curved Boundaries.- Optimal Portfolios with Dafaultable Assets - A Firm Value Approach.- References.- Abbreviations.- Notations.

Catastrophe Risk Financing in Developing Countries

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Publisher : World Bank Publications
ISBN 13 : 0821377361
Total Pages : 299 pages
Book Rating : 4.8/5 (213 download)

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Book Synopsis Catastrophe Risk Financing in Developing Countries by : J. David Cummins

Download or read book Catastrophe Risk Financing in Developing Countries written by J. David Cummins and published by World Bank Publications. This book was released on 2009 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Catastrophe Risk Financing in Developing Countries' provides a detailed analysis of the imperfections and inefficiencies that impede the emergence of competitive catastrophe risk markets in developing countries. The book demonstrates how donors and international financial institutions can assist governments in middle- and low-income countries in promoting effective and affordable catastrophe risk financing solutions. The authors present guiding principles on how and when governments, with assistance from donors and international financial institutions, should intervene in catastrophe insurance markets. They also identify key activities to be undertaken by donors and institutions that would allow middle- and low-income countries to develop competitive and cost-effective catastrophe risk financing strategies at both the macro (government) and micro (household) levels. These principles and activities are expected to inform good practices and ensure desirable results in catastrophe insurance projects. 'Catastrophe Risk Financing in Developing Countries' offers valuable advice and guidelines to policy makers and insurance practitioners involved in the development of catastrophe insurance programs in developing countries.

Dissertation Abstracts International

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Publisher :
ISBN 13 :
Total Pages : 456 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Dissertation Abstracts International by :

Download or read book Dissertation Abstracts International written by and published by . This book was released on 1994 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: