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英文标题：
《Expected exponential utility maximization of insurers with a general
diffusion factor model : The complete market case》
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作者：
Hiroaki Hata, Shuenn-Jyi Sheu, Li-Hsien Sun
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最新提交年份：
2019
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英文摘要：
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and $m$ risky assets. The mean returns and volatilities of the risky assets depend nonlinearly on economic factors that are formulated as the solutions of general stochastic differential equations. The wealth of the insurer is described by a Cram\\\'er--Lundberg process, and the insurer preferences are exponential. Adapting a dynamic programming approach, we derive Hamilton--Jacobi--Bellman (HJB) equation. And, we prove the unique solvability of HJB equation. In addition, the optimal strategy is also obtained using the coupled forward and backward stochastic differential equations (FBSDEs). Finally, proving the verification theorem, we construct the optimal strategy.
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中文摘要：
本文研究保险人的最优投资问题。保险公司投资于一个由银行账户和百万美元风险资产组成的市场。风险资产的平均收益率和波动率与经济因素呈非线性关系，这些经济因素被表示为一般随机微分方程的解。保险人的财富由克莱姆-伦德伯格过程描述，保险人的偏好是指数型的。采用动态规划方法，我们推导了Hamilton—Jacobi—Bellman（HJB）方程。证明了HJB方程的唯一可解性。此外，还利用耦合的前向和后向随机微分方程（FBSDE）获得了最优策略。最后，证明了验证定理，构造了最优策略。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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