Showing 1 - 10 of 18
Persistent link: https://www.econbiz.de/10013162391
Persistent link: https://www.econbiz.de/10012418792
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...
Persistent link: https://www.econbiz.de/10012930897
Persistent link: https://www.econbiz.de/10011694360
Persistent link: https://www.econbiz.de/10011732700
Persistent link: https://www.econbiz.de/10011958457
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)...
Persistent link: https://www.econbiz.de/10014179998
In this article, we discuss whether and when the risk taking and moral hazard is beneficial to the insured and to the society as well. We establish model by stochastic optimal control theory. We obtain the optimal levels of risk taking and moral hazard from perspectives of the insured and the...
Persistent link: https://www.econbiz.de/10014180022
In this paper, we extend Kliger and Levikson's approach for pricing insurance contracts by considering the influence of capital held by an insurance firm on the price of insurance contracts, and we determine how to arrive at the optimal price, number of policies and capital level of the...
Persistent link: https://www.econbiz.de/10012985125
In this paper, time-inconsistent model was established under stochastic differential game framework. The investment portfolio includes multi-risky assets, whose returns are assumed to be correlated in a time-varying manner and change cyclically. The claim losses of insurance companies and...
Persistent link: https://www.econbiz.de/10012932749