scholarly journals Correlation of Brownian Motions and Its Impact on a Reinsurer’s Optimal Investment Strategy and Reinsured Proportion under Exponential Utility Maximization and Constant Elasticity of Variance Model

OALib ◽  
2018 ◽  
Vol 05 (10) ◽  
pp. 1-10
Author(s):  
Silas A. Ihedioha
Keyword(s):  
Utility Maximization ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Exponential Utility ◽  
Variance Model ◽  
Brownian Motions ◽  
Constant Elasticity ◽  
Constant Elasticity Of Variance ◽  
Optimal Investment Strategy

scholarly journals TheCEVModel and Its Application in a Study of Optimal Investment Strategy

2014 ◽  
Vol 2014 ◽  
pp. 1-7 ◽  
Author(s):  
Aiyin Wang ◽  
Ls Yong ◽  
Yang Wang ◽  
Xuanjun Luo
Keyword(s):  
Optimal Investment ◽  
Investment Strategy ◽  
Legendre Transform ◽  
Investment Strategies ◽  
Approximation Solution ◽  
Constant Elasticity ◽  
Constant Elasticity Of Variance ◽  
Optimal Investment Strategy ◽  
Hamilton Jacobi Bellman ◽  
Exponential Utility Function

The constant elasticity of variance (CEV) model is used to describe the price of the risky asset. Maximizing the expected utility relating to the Hamilton-Jacobi-Bellman (HJB) equation which describes the optimal investment strategies, we obtain a partial differential equation. Applying the Legendre transform, we transform the equation into a dual problem and obtain an approximation solution and an optimal investment strategies for the exponential utility function.

scholarly journals MAX–MIN OPTIMIZATION PROBLEM FOR VARIABLE ANNUITIES PRICING

2015 ◽  
Vol 18 (08) ◽  
pp. 1550053 ◽  
Author(s):  
CHRISTOPHETTE BLANCHET-SCALLIET ◽  
ETIENNE CHEVALIER ◽  
IDRIS KHARROUBI ◽  
THOMAS LIM
Keyword(s):  
Expected Utility ◽  
Utility Maximization ◽  
Optimization Problem ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Worst Case ◽  
Variable Annuities ◽  
Minimization Problems ◽  
Optimal Investment Strategy ◽  
Utility Indifference

In this paper, we study the valuation of variable annuities for an insurer. We concentrate on two types of these contracts, namely guaranteed minimum death benefits and guaranteed minimum living benefits that allow the insured to withdraw money from the associated account. Here, the price of variable annuities corresponds to a fee, fixed at the beginning of the contract, that is continuously taken from the associated account. We use a utility indifference approach to determine the indifference fee rate. We focus on the worst case for the insurer, assuming that the insured makes the withdrawals that minimize the expected utility of the insurer. To compute this indifference fee rate, we link the utility maximization in the worst case for the insurer to a sequence of maximization and minimization problems that can be computed recursively. This allows to provide an optimal investment strategy for the insurer when the insured follows the worst withdrawal strategy and to compute the indifference fee. We finally explain how to approximate these quantities via the previous results and give numerical illustrations of parameter sensitivity.

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