Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching

2016 ◽  
Vol 32 (3) ◽  
pp. 755-770 ◽  
Author(s):  
Xing-chun Peng ◽  
Yi-jun Hu
Keyword(s):  
Regime Switching ◽  
Optimal Investment ◽  
Proportional Reinsurance

scholarly journals Optimal Investment-Consumption Strategy under Inflation in a Markovian Regime-Switching Market

2016 ◽  
Vol 2016 ◽  
pp. 1-17 ◽  
Author(s):  
Huiling Wu
Keyword(s):  
Regime Switching ◽  
Stock Price ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Power Utility ◽  
Optimal Investment Strategy ◽  
Admissible Strategies ◽  
Definition Of ◽  
Markovian Regime Switching ◽  
Optimal Investment And Consumption

This paper studies an investment-consumption problem under inflation. The consumption price level, the prices of the available assets, and the coefficient of the power utility are assumed to be sensitive to the states of underlying economy modulated by a continuous-time Markovian chain. The definition of admissible strategies and the verification theory corresponding to this stochastic control problem are presented. The analytical expression of the optimal investment strategy is derived. The existence, boundedness, and feasibility of the optimal consumption are proven. Finally, we analyze in detail by mathematical and numerical analysis how the risk aversion, the correlation coefficient between the inflation and the stock price, the inflation parameters, and the coefficient of utility affect the optimal investment and consumption strategy.

scholarly journals Optimal Investment and Proportional Reinsurance in a Regime-Switching Market Model under Forward Preferences

Mathematics ◽  
2021 ◽  
Vol 9 (14) ◽  
pp. 1610
Author(s):  
Katia Colaneri ◽  
Alessandra Cretarola ◽  
Benedetta Salterini
Keyword(s):  
Stock Prices ◽  
Regime Switching ◽  
Common Factor ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Market Model ◽  
Sensitivity Analyses ◽  
Model Parameters ◽  
Insurance Company ◽  
Optimal Investment Strategy

In this paper, we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial frameworks are dependent since stock prices and insurance claims vary according to a common factor given by a continuous time finite state Markov chain. We construct the value function and we prove that it is a forward dynamic utility. Then, we characterize the optimal investment strategy and the optimal proportional level of reinsurance. We also perform numerical experiments and provide sensitivity analyses with respect to some model parameters.

Optimal investment with time-varying transition probabilities for regime switching

2021 ◽  
Vol 29 (2) ◽  
pp. 102-115
Author(s):  
Hyo-Chan Lee ◽  
Seyoung Park ◽  
Jong Mun Yoon
Keyword(s):  
Regime Switching ◽  
Transition Probabilities ◽  
Optimal Investment ◽  
Cash Flows ◽  
Optimal Timing ◽  
Time Varying ◽  
Content Type ◽  
Stochastic Nature ◽  
Optimal Thresholds

Abstract This study aims to generalize the following result of McDonald and Siegel (1986) on optimal investment: it is optimal for an investor to invest when project cash flows exceed a certain threshold. This study presents other results that refine or extend this one by integrating timing flexibility and changes in cash flows with time-varying transition probabilities for regime switching. This study emphasizes that optimal thresholds are either overvalued or undervalued in the absence of time-varying transition probabilities. Accordingly, the stochastic nature of transition probabilities has important implications to the search for optimal timing of investment.

Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market

2019 ◽  
Vol 53 (4) ◽  
pp. 1171-1186
Author(s):  
Reza Keykhaei
Keyword(s):  
Portfolio Selection ◽  
Regime Switching ◽  
Exit Time ◽  
Efficient Frontier ◽  
Optimal Investment ◽  
Homogeneous Markov Chain ◽  
Investment Strategies ◽  
Special Cases ◽  
Mean Variance Portfolio ◽  
Mean Variance

In this paper, we deal with multi-period mean-variance portfolio selection problems with an exogenous uncertain exit-time in a regime-switching market. The market is modelled by a non-homogeneous Markov chain in which the random returns of assets depend on the states of the market and investment time periods. Applying the Lagrange duality method, we derive explicit closed-form expressions for the optimal investment strategies and the efficient frontier. Also, we show that some known results in the literature can be obtained as special cases of our results. A numerical example is provided to illustrate the results.

scholarly journals RUIN PROBABILITIES UNDER AN OPTIMAL INVESTMENT AND PROPORTIONAL REINSURANCE POLICY IN A JUMP DIFFUSION RISK PROCESS

2009 ◽  
Vol 51 (1) ◽  
pp. 34-48 ◽  
Author(s):  
YIPING QIAN ◽  
XIANG LIN
Keyword(s):  
Ruin Probability ◽  
Market Price ◽  
Optimal Investment ◽  
Jump Diffusion ◽  
Risk Process ◽  
Closed Form Expression ◽  
Proportional Reinsurance ◽  
Insurance Company ◽  
Risky Assets ◽  
Price Of Risk

AbstractIn this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusion risk process. The insurance company can invest part of its surplus in n risky assets and purchase proportional reinsurance for claims. Our main goal is to find an optimal investment and proportional reinsurance policy which minimizes the ruin probability. We apply stochastic control theory to solve this problem. We obtain the closed form expression for the minimal ruin probability, optimal investment and proportional reinsurance policy. We find that the minimal ruin probability satisfies the Lundberg equality. We also investigate the effects of the diffusion volatility parameter, the market price of risk and the correlation coefficient on the minimal ruin probability, optimal investment and proportional reinsurance policy through numerical calculations.

scholarly journals Optimal investment-reinsurance policy with regime switching and value-at-risk constraint

2020 ◽  
Vol 16 (5) ◽  
pp. 2195-2211
Author(s):  
Ming Yan ◽  
◽  
Hongtao Yang ◽  
Lei Zhang ◽  
Shuhua Zhang ◽  
...  
Keyword(s):  
At Risk ◽  
Regime Switching ◽  
Value At Risk ◽  
Optimal Investment ◽  
Risk Constraint
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