Optimal Investment and Liability Ratio Policies in a Multidimensional Regime Switching Model

Optimal Investment and Liability Ratio Policies in a Multidimensional Regime Switching Model

We consider an insurer who faces an external jump-diffusion risk that is negatively correlated with the capital returns in a multidimensional regime switching model. The insurer selects investment and liability ratio policies continuously to maximize her/his expected utility of terminal wealth. We o...

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Bibliographic Details
Main Authors: Bin Zou, Abel Cadenillas
Format: Article
Language:English
Published: MDPI AG 2017-01-01
Series:Risks
Subjects:
insurance
jump diffusion
optimal investment and liability
regime switching
risk management
stochastic control
Online Access:http://www.mdpi.com/2227-9091/5/1/6

Internet

http://www.mdpi.com/2227-9091/5/1/6

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