Optimal Investment and Risk Control Strategies for an Insurer Subject to a Stochastic Economic Factor in a Lévy Market

• Published in: Methodology and computing in applied probability Vol. 24; no. 4; pp. 2913 - 2931
• Main Authors: Shen, Weiwei, Yin, Juliang
• Format: Journal Article
• Language: English
• Published: New York Springer US 01.12.2022; Springer Nature B.V
• Subjects: Business and Management; Capital gains; Default; Differential equations; Dynamic programming; Economic factors; Economics; Electrical Engineering; Expected utility; Life Sciences; Logarithms; Markov analysis; Mathematics and Statistics; Numerical analysis; Optimization; Portfolio investments; Risk management; Securities markets; Statistics; Strategy; Utility functions; Viscosity; Stochastic economic factor; 93E20; 49J20; Optimal control; Viscosity solution; Lévy processes; HARA utility; 91G80; PIDE

Optimal investment and risk control problem for an insurer subject to a stochastic economic factor in a Lévy market is considered in this paper. In our mathematical model, a riskless bond and a risky asset are assumed to rely on a stochastic economic factor which is described by a Lévy stochastic di...