학술논문
Optimal investment strategies for an insurer with SAHARA utility.
Document Type
Journal
Author
Zhao, Qian (PRC-SUIBE-SSI) AMS Author Profile; Zhu, Shaohui (PRC-SUIBE-SSI) AMS Author Profile
Source
Subject
60 Probability theory and stochastic processes -- 60H Stochastic analysis
60H30Applications of stochastic analysis
91Game theory, economics, social and behavioral sciences -- 91G Mathematical finance
91G80Financial applications of other theories
60H30
91
91G80
Language
English
Chinese
Chinese
Abstract
Summary: ``In this paper, we consider the optimal investment strategy which maximizes the utility of the terminal wealth of an insurer with SAHARA utility functions. This class of utility functions has non-monotone absolute risk aversion, which is more flexible than the CARA and CRRA utility functions. In the case that the risk process is modeled as a Brownian motion and the stock process is modeled as a geometric Brownian motion, we get the closed-form solutions for our problem by the martingale method for both the constant threshold and when the threshold evolves dynamically according to a specific process. Finally, we show that the optimal strategy is state-dependent.''