Optimal Time-Consistent Investment and Premium Control Strategies for Insurers with Constraint under the Heston Model
Mathematics
; 10(7):1019, 2022.
Article
in English
| ProQuest Central | ID: covidwho-1785800
ABSTRACT
In this work, we study the optimal investment and premium control problem with the short-selling constraint under the mean-variance criterion. The claim process is assumed to follow the non-homogeneous compound Poisson process. The insurer invests the surplus in one risk-free asset and one risky asset described by the Heston model. Under these, we consider an optimization objective that maximizes the return (the expectation of terminal wealth) and minimizes the risk (the variance of terminal wealth). By constructing the extended Hamilton–Jacobi–Bellman (HJB) system with the dynamic programming method, the time-consistent strategies and the corresponding value function are obtained. Furthermore, we provide numerical examples to illustrate the effects of the model parameters on the optimal policies.
Mathematics; investment; premium control; short-selling constraint; mean-variance criterion; the extended HJB system; Stock exchanges; Bans; Dynamic programming; Reinsurance; Investments; Securities markets; Pandemics; Equilibrium; Optimization; Expected utility; Volatility; Approximation; Constraint modelling; Coronaviruses; Stochastic control theory; COVID-19; Short sales; China
Full text:
Available
Collection:
Databases of international organizations
Database:
ProQuest Central
Language:
English
Journal:
Mathematics
Year:
2022
Document Type:
Article
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