Risks 2013, 1(3), 101-118; doi:10.3390/risks1030101

Optimal Deterministic Investment Strategies for Insurers

1,* email and 2email
Received: 30 September 2013; in revised form: 28 October 2013 / Accepted: 2 November 2013 / Published: 7 November 2013
(This article belongs to the Special Issue Application of Stochastic Processes in Insurance)
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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.
Keywords: deterministic control problem; mean-variance; risk measure; Lévy process
PDF Full-text Download PDF Full-Text [15023 KB, Updated Version, uploaded 8 November 2013 18:07 CET]
The original version is still available [15023 KB, uploaded 7 November 2013 15:26 CET]

Export to BibTeX |

MDPI and ACS Style

Bäuerle, N.; Rieder, U. Optimal Deterministic Investment Strategies for Insurers. Risks 2013, 1, 101-118.

AMA Style

Bäuerle N, Rieder U. Optimal Deterministic Investment Strategies for Insurers. Risks. 2013; 1(3):101-118.

Chicago/Turabian Style

Bäuerle, Nicole; Rieder, Ulrich. 2013. "Optimal Deterministic Investment Strategies for Insurers." Risks 1, no. 3: 101-118.

Risks EISSN 2227-9091 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert