In this paper, we explore the optimal price, default ratio, and capital for insurance companies under social welfare maximization from regulators' perspective. By comparing cases under symmetric and asymmetric information in the insurance market, we find that an optimal regulatory objective...

In this article, a model of optimal insurance pricing and investment strategies is established. The insurance price, investment returns and insured losses are assumed to be correlated stochastic processes. N kinds of invested risky assets following multi-Vasicek model with time-varying...

In this paper, we discuss how to determine the optimal investment portfolio and reinsurance strategy of insurance company based on zero-sum stochastic differential game between the market and the insurer. We extend Zhang and Siu (2009)’s model by (1) including a risk-free asset, (2)...

In der vorliegenden Studie wird das Pricing aktiengebundener Lebensversicherungen mit Mindestgarantiezins in einem Gleichgewichtsmodell untersucht. Dazu werden Modelle zur Berechnung der Default-Option und der Ausfallwahrscheinlichkeiten eingeführt. Die Modelle binden Angebot- und...