scholarly journals Research on Optimal Investment Reinsurance of Insurance Companies under Delayed Risk Model

2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Yun Xiao ◽  
Zhijian Qiu
Keyword(s):  
Risk Model ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Optimization Criterion ◽  
Investment Model ◽  
Insurance Companies ◽  
Investment Portfolio ◽  
Market Competitiveness ◽  
Optimal Investment Strategy ◽  
Risk Investment

The reinsurance and investment portfolio of insurance companies has always been a hot issue in insurance business. In insurance practice, it is inevitable for insurance companies to invest their own funds in order to expand their capital scale and enhance market competitiveness so as to obtain greater returns. At the same time, in order for insurance companies to disperse insurance risks and to avoid too concentrated claims or catastrophes caused by failure to perform compensation responsibilities, the purchase of reinsurance business has also become an important way. Stochastic control theory is widely used in reinsurance and investment issues. Based on the reinsurance system architecture, this paper establishes a reinsurance delay risk investment model, which reduces the amount of claims to be borne by buying proportional reinsurance to avoid bankruptcy caused by the excessive amount of claims. By using the delayed venture capital model to describe the earnings of insurance companies, the optimal investment and reinsurance strategy are solved under the optimization criterion of minimizing the probability of bankruptcy. By analyzing the model parameter data, the influence of each parameter on optimal investment strategy and optimal reinsurance strategy is discussed.

scholarly journals Dynamic Index Optimal Investment Strategy Based on Stochastic Differential Equations in Financial Market Options

2021 ◽  
Vol 2021 ◽  
pp. 1-9
Author(s):  
Jun Zhang
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Financial Market ◽  
Capital Investment ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Insurance Companies ◽  
Investment Efficiency ◽  
Bank Deposits ◽  
Optimal Investment Strategy

With the gradual development and improvement of the financial market, financial derivatives such as futures and options have also become the objects of competition in the financial market. Therefore, how to make the most favorable and optimized investment and consumption when options are included? It has become a problem facing investors. Aiming at the optimal investment problem of investors, this paper studies the calculation of an optimal investment strategy in stochastic differential equations in financial market options on the basis of fuzzy theory. Now, stochastic calculus has become an important branch of stochastic analysis, finance, control, and other fields. The study of introducing stochastic differential equations is mainly to solve the stochastic control problem, which is the principle of the stochastic maximum. In finance, some hedging or pricing problems of contingent rights can eventually be transformed into a series of stochastic differential equations. Based on the historical data of five aspects of bank deposits, bonds, funds, stocks, and real estate of four listed insurance companies, the paper analyzes the optimization strategy of the capital investment of listed insurance companies based on the investment yield of the domestic investment market. According to the final results, the historical proportion of bank deposits of the superior company is 27%, and the optimal proportion given by the model is 25%; the total proportion of funds and stocks is 15%, and the optimal proportion of funds analyzed in the model is 20% and the optimal proportion of stocks is 10%. Therefore, the final results show that the investment efficiency of listed insurance companies can actually increase investment in stocks and funds and reduce the proportion of bank deposits to obtain greater investment returns.

scholarly journals Precommitted Investment Strategy versus Time-Consistent Investment Strategy for a Dual Risk Model

2014 ◽  
Vol 2014 ◽  
pp. 1-13 ◽  
Author(s):  
Lidong Zhang ◽  
Ximin Rong ◽  
Ziping Du
Keyword(s):  
Risk Model ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Bellman Equations ◽  
Optimal Investment Strategy ◽  
Optimization Principle ◽  
Dual Risk Model ◽  
Strategy Versus ◽  
Hamilton Jacobi Bellman ◽  
Original Time

We are concerned with optimal investment strategy for a dual risk model. We assume that the company can invest into a risk-free asset and a risky asset. Short-selling and borrowing money are allowed. Due to lack of iterated-expectation property, the Bellman Optimization Principle does not hold. Thus we investigate the precommitted strategy and time-consistent strategy, respectively. We take three steps to derive the precommitted investment strategy. Furthermore, the time-consistent investment strategy is also obtained by solving the extended Hamilton-Jacobi-Bellman equations. We compare the precommitted strategy with time-consistent strategy and find that these different strategies have different advantages: the former can make value function maximized at the original timet=0and the latter strategy is time-consistent for the whole time horizon. Finally, numerical analysis is presented for our results.

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.

Growth Optimal Investment Strategy: The Impact of Reallocation Frequency and Heavy Tails

2012 ◽  
Vol 13 (2) ◽  
pp. 228-240 ◽  
Author(s):  
G. Bamberg ◽  
A. Neuhierl
Keyword(s):  
Heavy Tails ◽  
Geometric Mean ◽  
Asymptotic Optimality ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Risky Asset ◽  
Optimal Investment Strategy ◽  
Optimality Properties ◽  
Heavy Tailed ◽  
The Impact

Abstract The strategy to maximize the long-term growth rate of final wealth (maximum expected log strategy, maximum geometric mean strategy, Kelly criterion) is based on probability theoretic underpinnings and has asymptotic optimality properties. This article reviews the allocation of wealth in a two-asset economy with one risky asset and a risk-free asset. It is also shown that the optimal fraction to be invested in the risky asset (i) depends on the length of the basic return period and (ii) is lower for heavy-tailed log returns than for light-tailed log returns.

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