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Author : Chi-sang Liu
Publisher :
ISBN 13 :
Total Pages : 186 pages
Book Rating : 4.:/5 (543 download)
Download or read book A Study of Optimal Investment Strategy for Insurance Portfolio written by Chi-sang Liu and published by . This book was released on 2003 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chi-Sang Liu
Publisher : Open Dissertation Press
ISBN 13 : 9781361414194
Total Pages : pages
Book Rating : 4.4/5 (141 download)
Download or read book A Study of Optimal Investment Strategy for Insurance Portfolio written by Chi-Sang Liu and published by Open Dissertation Press. This book was released on 2017-01-27 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "A Study of Optimal Investment Strategy for Insurance Portfolio" by 廖智生, Chi-sang, Liu, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b3122763 Subjects: Investments - Mathematical models Insurance companies - Investments Insurance - Finance
Author : Hongcan Lin
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (13 download)
Download or read book Optimal Investment Strategies for Participating Contracts written by Hongcan Lin and published by . This book was released on 2017 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: Participating contracts are popular insurance policies, in which the payoff to a policyholder is linked to the performance of a portfolio managed by the insurer. We consider the portfolio selection problem of an insurer that offers participating contracts and has an S-shaped utility function. Applying the martingale approach, closed-form solutions are obtained. The resulting optimal strategies are compared with portfolio insurance hedging strategies (CPPI and OBPI). We also study numerical solutions of the portfolio selection problem with constraints on the portfolio weights.
Author : Krzysztof Ostaszewski
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
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.
Author : Hong Mao
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (13 download)
Download or read book Optimal Decision on Dynamic Insurance Price and Investment Portfolio of An Insurer with Multi-Dimensional Time-Varying Correlation written by Hong Mao and published by . This book was released on 2018 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, a model of optimal insurance pricing and investment strategies is established. The insurance price, investment returns and insured losses are assumed to be correlated stochastic processes. N kinds of invested risky assets following multi-Vasicek model with time-varying correlation are discussed in the investment portfolio. Demand of insurance contracts is considered to affect the price of the contracts. The utility is a performance process and is specified for time t and t is equal to or greater than zero. Dynamical optimal price of an insurance contract and the optimal investment portfolio of an insurer are found simultaneously by maximizing the performance of the insurer. Finally, numerical analysis is carried out with an example. The results show that Treasure Bills, generally considered as a risk-free asset, has been examined to follow the similar pattern as other risky assets in the long run; multi-Vasicek model is an appropriate model to describe the change pattern of the return of risky assets invested. The sensitivity of the change of important parameters on the optimal solutions is analyzed. Particularly, the equally weighted investment portfolio can be an optimal investment strategy under some conditions. The proposed model in this paper can be used to obtain optimal solutions easily even in the situation of high dimensional investment portfolio.
Author : Jose Cerda Hernández
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Optimal Investment Strategy to Maximize the Expected Utility of an Insurance Company Under Cramer-Lundberg Dynamic written by Jose Cerda Hernández and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this work, we examine the combined problem of optimal portfolio selection rules for an insurer in a continuous-time model where the surplus of an insurance company is modelled as a compound Poisson process. The company can invest its surplus in a risk free asset and in a risky asset, governed by the Black-Scholes equation.According to utility theory, in a financial market where investors are facing uncertainty, an investor is not concerned with wealth maximization per se but with utility maximization. It is therefore possible to introduce an increasing and concave utility function $ phi(x,t)$ representing the expected utility of a risk averse investor (insurance company). Therefore, the goal of this work is not anymore to maximize the expected portfolio value or minimize the ruin probability or maximizing the expectation of the present value of all dividends paid to the shareholders up to the ruin, but to maximize the expected utility stemming from the wealth during the life contract $[0,T]$. In this direction, using the Dynamic Programming Principle of the problem, we obtain the Hamilton-Jacobi- Bellman equation by our optimization problem (HJB). Finally, we present numerical solutions in some cases, obtaining as optimal strategy the well known Merton's strategy.
Author : Hong Mao
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Determining the Insurer's Optimal Investment and Reinsurance Strategy Based on Stochastic Differential Game written by Hong Mao and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we discuss how to determine the optimal investment portfolio and reinsurance strategy of insurance company based on zero-sum stochastic differential game between the market and the insurer. We extend Zhang and Siu (2009)'s model by (1) including a risk-free asset, (2) considering risky assets instead of only one risky asset and (3) discussing the case of power utility function besides exponential utility when the wealth process of an insurance company is a diffusion process. We establish the Hamilton-Jacobi-Bellman-Issacs equations and obtain the optimal solutions of the amount invested in risky assets and retention of reinsurance. Our results show that the optimal solution is positively correlated to time but independent of the wealth of insurer, when the utility function of terminal wealth is exponential. However, the optimal solution is uncorrelated to time and is increasing function of the wealth of the insurer in the case of power utility function. Our results also show that the risk-free interest rate will affect the strategy of investment and reinsurance.
Author : Ralf Korn
Publisher : World Scientific
ISBN 13 : 9814497126
Total Pages : 352 pages
Book Rating : 4.8/5 (144 download)
Download or read book Optimal Portfolios: Stochastic Models For Optimal Investment And Risk Management In Continuous Time written by Ralf Korn and published by World Scientific. This book was released on 1997-11-29 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.Stress is laid on rigorous mathematical presentation and clear economic interpretations while technicalities are kept to the minimum. The underlying mathematical concepts will be provided. No a priori knowledge of stochastic calculus, stochastic control or partial differential equations is necessary (however some knowledge in stochastics and calculus is needed).
Author : Yu Zhang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Optimal Risk Control with Investment Decisions written by Yu Zhang and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern businesses face different kinds of risk that may affect their management operations and cause significant financial losses. It is thus very crucial to identify, assess and control risks to reduce their potential impact. One important objective for insurance businesses is implementing strategies to control the risk of ruin, which is naturally measured by the ruin probability. In this study, we consider optimal risk control problems with investment decisions and aim to assess the impact of investment on minimizing the ruin probability. Specifically, we apply stochastic control in insurance to determine optimal investment strategies. We first consider the problem of controlling ruin probability by investment decisions under a discrete-time risk process. An insurance company may invest its reserve into a riskless asset and a risky asset. Our goal is concentrated on finding the optimal investment strategy to minimize the ruin probability, in the case that the claim size distribution has an unknown mean parameter. Applying the Bayesian approach and the dynamic programming method, we find the minimal ruin probability function and the corresponding optimal investment decisions. We also investigate some structural properties of the optimal strategy. We investigate the problem of minimizing the ruin probability with joint decisions of investment and excess-of-loss reinsurance for a continuous-time risk model. The reserve of an insurance company is modeled by a diffusion process and may be invested in a financial market which follows the Black-Scholes model consisting of a risky asset and a riskless asset. However, a constraint is imposed on investment decisions and the ratio between the amount invested in the risky asset and the total reserve should lie below a given bound. Meanwhile, the insurance company may purchase an excess-of-loss reinsurance to reduce risk. We characterize and derive jointly optimal decisions of investment and reinsurance to minimize ruin probability. We solve the corresponding Hamilton-Jacobi-Bellman equation and provide an explicit form for the minimal ruin probability function. In addition, we present several numerical examples to illustrate our results, which indicate a positive impact of investment on controlling the risk of ruin.
Author : Maxime Bonelli
Publisher :
ISBN 13 :
Total Pages : 61 pages
Book Rating : 4.:/5 (13 download)
Download or read book Portfolio Management with Drawdown Constraint written by Maxime Bonelli and published by . This book was released on 2017 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze optimal investment strategies under the drawdown constraint that the wealth process never falls below a fixed fraction of its running maximum. We derive optimal allocation programs by solving numerically the Hamilton-Jacobi-Bellman equation that characterizes the finite horizon expected utility maximization problem, for investors with power utility as well as S-shaped utility. Using stochastic simulations, we find that, according to utility maximization, implementing the drawdown constraint can be gainful in optimal portfolios for the power utility, for some market configurations and investment horizons. However, our study reveals that the optimal strategy with drawdown constraint is not the preferred investment for the S-shaped utility investor, who rather prefers the equivalent optimal strategy without constraint. Indeed, the latter investment being similar to a partial portfolio insurance, the additional drawdown constraint does not appear valuable for this investor in optimal portfolios.
Author : Bin Zou
Publisher :
ISBN 13 :
Total Pages : 138 pages
Book Rating : 4.:/5 (918 download)
Download or read book Stochastic Control in Optimal Insurance and Investment with Regime Switching written by Bin Zou and published by . This book was released on 2014 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by the financial crisis of 2007-2009 and the increasing demand for portfolio and risk management, we study optimal insurance and investment problems with regime switching in this thesis. We incorporate an insurable risk into the classical consumption and investment framework and consider an investor who wants to select optimal consumption, investment and insurance policies in a regime switching economy. We allow not only the financial market but also the insurable risk to depend on the regime of the economy. The objective of the investor is to maximize his/her expected total discounted utility of consumption over an infinite time horizon. For the case of hyperbolic absolute risk aversion (HARA) utility functions, we obtain the first explicit solutions for simultaneous optimal consumption, investment and insurance problems when there is regime switching. Next we consider an insurer who wants to maximize his/her expected utility of terminal wealth by selecting optimal investment and risk control policies. The insurer's risk is modeled by a jump-diffusion process and is negatively correlated with the capital gains in the financial market. In the case of no regime switching in the economy, we apply the martingale approach to obtain optimal policies for HARA utility functions, constant absolute risk aversion (CARA) utility functions, and quadratic utility functions. When there is regime switching in the economy, we apply dynamic programming to derive the associated Hamilton-Jacobi-Bellman (HJB) equation. Optimal investment and risk control policies are then obtained in explicit forms by solving the HJB equation. We provide economic analyses for all optimal control problems considered in this thesis. We study how optimal policies are affected by the economic conditions, the financial and insurance markets, and investor's risk preference.
Author : Caroline Hillairet
Publisher : Elsevier
ISBN 13 : 0081011776
Total Pages : 192 pages
Book Rating : 4.0/5 (81 download)
Download or read book Portfolio Optimization with Different Information Flow written by Caroline Hillairet and published by Elsevier. This book was released on 2017-02-10 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Optimization with Different Information Flow recalls the stochastic tools and results concerning the stochastic optimization theory and the enlargement filtration theory.The authors apply the theory of the enlargement of filtrations and solve the optimization problem. Two main types of enlargement of filtration are discussed: initial and progressive, using tools from various fields, such as from stochastic calculus and convex analysis, optimal stochastic control and backward stochastic differential equations. This theoretical and numerical analysis is applied in different market settings to provide a good basis for the understanding of portfolio optimization with different information flow. Presents recent progress of stochastic portfolio optimization with exotic filtrations Shows you how to apply the tools of the enlargement of filtrations to resolve the optimization problem Uses tools from various fields from enlargement of filtration theory, stochastic calculus, convex analysis, optimal stochastic control, and backward stochastic differential equations
Author : Padmanathan Kathirgamanathan
Publisher :
ISBN 13 :
Total Pages : 136 pages
Book Rating : 4.:/5 (154 download)
Download or read book A Study of Optimal Investment Strategies written by Padmanathan Kathirgamanathan and published by . This book was released on 1999 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Calisto Guambe
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
Download or read book Stochastic Optimal Portfolios and Life Insurance Problems in a Le̹vy Market written by Calisto Guambe and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis solves various optimal investment, consumption and life insurance problems described by jump-diffusion processes. In the first part of the thesis, we solve an optimal investment, consumption, and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic volatility. Using the martingale approach, we prove the existence of the optimal strategy and the optimal martingale measure and we obtain the explicit solutions for the power utility functions. Secondly, we prove the sufficient and necessary maximum principle for the similar problem proposed in the first part. Then we apply the results to solve an investment, consumption, and life insurance problem with stochastic volatility, that is, we consider a wage earner investing in one risk-free asset and one risky asset described by a jump-diffusion process and has to decide concerning consumption and life insurance purchase. We assume that the life insurance for the wage earner is bought from a market composed of M > 0 life insurance companies offering pairwise distinct life insurance contracts. The goal is to maximize the expected utilities derived from the consumption, the legacy in the case of a premature death and the investor's terminal wealth. The third part discusses an optimal investment, consumption and insurance problem of a wage earner under inflation. Assume a wage earner investing in a real money account and three asset prices, namely: a real zero coupon bond, the inflation-linked real money account and a risky share described by jump-diffusion processes. Using the theory of quadratic-exponential backward stochastic differential equation (BSDE) with jumps approach, we derive the optimal strategy for the two typical utilities (exponential and power) and the value function is characterized as a solution of BSDE with jumps. The explicit solutions for the optimal investment in both cases of exponential and power utility functions for a diffusion case are derived.
Author : Vilas Gaikar
Publisher : Springer Nature
ISBN 13 : 946463054X
Total Pages : 830 pages
Book Rating : 4.4/5 (646 download)
Download or read book Proceedings of the 2022 2nd International Conference on Financial Management and Economic Transition (FMET 2022) written by Vilas Gaikar and published by Springer Nature. This book was released on 2023-02-10 with total page 830 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book. As a leading role in the global megatrend of scientific innovation, China has been creating a more and more open environment for scientific innovation, increasing the depth and breadth of academic cooperation, and building a community of innovation that benefits all. Such endeavors are making new contributions to the globalization and creating a community of shared future. FMET is to bring together innovative academics and industrial experts in the field of Financial Management and Economic to a common forum. We will discuss and study about Financial marketing, Corporate finance, Management and administration of commercial Banks, International trade theory and practice, Economy and foreign economic management, Economic information management and other fields. FMET 2022 also aims to provide a platform for experts, scholars, engineers, technicians and technical R & D personnel to share scientific research achievements and cutting-edge technologies, understand academic development trends, expand research ideas, strengthen academic research and discussion, and promote the industrialization cooperation of academic achievements. To adapt to this changing world and China's fast development in the new era, 2022 2nd International Conference on Financial Management and Economic Transition to be held in August 2022. This conference takes "bringing together global wisdom in scientific innovation to promote high-quality development" as the theme and focuses on cutting-edge research fields including Financial Management and Economic Transition. FMET 2022 encourages the exchange of information at the forefront of research in different fields, connects the most advanced academic resources in China and the world, transforms research results into industrial solutions, and brings together talent, technology and capital to drive development. The conference sincerely invites experts, scholars, business people and other relevant personnel from universities, scientific research institutions at home and abroad to attend and exchange!
Author : Ralf Hohmann
Publisher : GRIN Verlag
ISBN 13 : 334640868X
Total Pages : 23 pages
Book Rating : 4.3/5 (464 download)
Download or read book Portfolio Insurance and VaRoP. A Comparison written by Ralf Hohmann and published by GRIN Verlag. This book was released on 2021-05-18 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Scientific Essay from the year 2021 in the subject Business economics - Investment and Finance, , language: English, abstract: Investments in money and capital markets involve different loss potentials that market participants should be able to manage. Below follows an overview and comparison of selected strategies to manage these risks. Portfolio insurance (PI) strategies were developed in the 1980s. They are used to hedge portfolios or individual investments against price losses. The volume of assets hedged with these strategies is significant. Different forms of individual strategies have developed over the years. Risk quantification and Value at Risk (VAR) strategies emerged around the same time. Risks of individual investments or portfolios were measured and different strategies were developed to take them into account in Value at Risk optimised portfolios (VaRoP). VaRoP is a strategy that calculates an optimal portfolio taking into account a given or permissible maximum VAR. Both strategies are intended to protect portfolios from losses in value. Their similarities and differences as well as their successes are presented and summarised in this paper. Their applicability in practice is also examined.
Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387262849
Total Pages : 861 pages
Book Rating : 4.3/5 (872 download)
Download or read book Encyclopedia of Finance written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2006-07-27 with total page 861 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a major new reference work covering all aspects of finance. Coverage includes finance (financial management, security analysis, portfolio management, financial markets and instruments, insurance, real estate, options and futures, international finance) and statistical applications in finance (applications in portfolio analysis, option pricing models and financial research). The project is designed to attract both an academic and professional market. It also has an international approach to ensure its maximum appeal. The Editors' wish is that the readers will find the encyclopedia to be an invaluable resource.
