Consider an insurer who invests in the financial market where correlations among risky asset returns are randomly changing over time. The insurer who faces the risk of paying stochastic insurance claims needs to manage her asset and liability by taking into account of the correlation risk. This...

This paper investigates the time-consistent dynamic mean–variance hedging of longevity risk with a longevity security contingent on a mortality index or the national mortality. Using an HJB framework, we solve the hedging problem in which insurance liabilities follow a doubly stochastic...

This paper considers the optimal investment problem for an insurer that invests in cointegrated assets subject to the random payments of insurance claims. The insurer’s objective is to maximize the expected utility of the terminal wealth subject to the cointegration dynamics of risky assets...