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Optimal Deterministic Investment Strategies for Insurers

Author

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  • Nicole Bäuerle

    (Department of Mathematics, Karlsruhe Institute of Technology, Karlsruhe D-76128, Germany)

  • Ulrich Rieder

    (Department of Optimization and Operations Research, University of Ulm, Ulm D-89069, Germany)

Abstract

We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black–Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that investment strategies have to be deterministic. This leads to deterministic control problems, which are quite easy to solve. Moreover, it turns out that there are some interesting links between the optimal investment strategies of these problems. Finally, we also show that this approach works in the Lévy process framework.

Suggested Citation

  • Nicole Bäuerle & Ulrich Rieder, 2013. "Optimal Deterministic Investment Strategies for Insurers," Risks, MDPI, vol. 1(3), pages 1-18, November.
    • Handle: RePEc:gam:jrisks:v:1:y:2013:i:3:p:101-118:d:30247
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    References listed on IDEAS

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    Cited by:

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    2. Falkowski, Adrian & Słomiński, Leszek, 2021. "Mean reflected stochastic differential equations with two constraints," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 172-196.

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