scholarly journals Optimal investment-reinsurance strategy in the correlated insurance and financial markets

2021 ◽  
Vol 0 (0) ◽  
pp. 0
Author(s):  
Xiaoyu Xing ◽  
Caixia Geng
Keyword(s):  
Financial Markets ◽  
Asset Allocation ◽  
Value Function ◽  
Optimal Investment ◽  
Value Functions ◽  
Cev Model ◽  
Surplus Process ◽  
Novel Approach ◽  
Exponential Utility Function ◽  
Allocation Strategies

<p style='text-indent:20px;'>Within the correlated insurance and financial markets, we consider the optimal reinsurance and asset allocation strategies. In this paper, the risk asset is assumed to follow a general continuous diffusion process driven by a Brownian motion, which correlates to the insurer's surplus process. We propose a novel approach to derive the optimal investment-reinsurance strategy and value function for an exponential utility function. To illustrate this, we show how to derive the explicit closed strategies and value functions when the risk asset is the CEV model, 3/2 model and Merton's IR model respectively.</p>

scholarly journals VALUE AT RISK: SENSITIVITY TO DIFFERENT ASSET ALLOCATION STRATEGIES DURING RETIREMENT

2020 ◽  
pp. 75-83
Author(s):  
S. P. Uma Rao ◽  
D. R. Adhikari ◽  
D. Boudreaux
Keyword(s):  
Financial Markets ◽  
Asset Allocation ◽  
Value At Risk ◽  
Risk Sensitivity ◽  
Planning Period ◽  
Subprime Mortgages ◽  
S 100 ◽  
The 2008 Financial Crisis ◽  
Asset Allocations ◽  
Allocation Strategies

There is a risk of extreme events in financial markets. This risk is often understated as we have seen in portfolios of subprime mortgages during the 2008 financial crisis. The goal of this study is to draw inferences about the cross-section of VaR estimates for different asset allocation funds. The study answers this question for 7 different asset allocations 100% stock (S), 100% T’bonds (B), 100% T’bills (or Cash), .4S+.4B+.2Cash, .6S+.4B, .8S+.2B, and .8S+.2Cash. Further, the present study determines that stock-bond-bill asset allocation over a five-year planning period which minimizes VaR while earning a minimum of 7% return is 72.3% stocks and 27.7% bonds.

scholarly journals Optimal Investment Policy for Insurers under the Constant Elasticity of Variance Model with a Correlated Random Risk Process

2020 ◽  
Vol 2020 ◽  
pp. 1-10
Author(s):  
Xiaotao Liu ◽  
Hailong Liu
Keyword(s):  
Portfolio Choice ◽  
Optimal Investment ◽  
Risk Process ◽  
Cev Model ◽  
Constant Elasticity ◽  
Economic Implications ◽  
Constant Elasticity Of Variance ◽  
Surplus Process ◽  
Hamilton Jacobi Bellman ◽  
Negative Exponential

This paper investigates the optimal portfolio choice problem for a large insurer with negative exponential utility over terminal wealth under the constant elasticity of variance (CEV) model. The surplus process is assumed to follow a diffusion approximation model with the Brownian motion in which is correlated with that driving the price of the risky asset. We first derive the corresponding Hamilton–Jacobi–Bellman (HJB) equation and then obtain explicit solutions to the value function as well as the optimal control by applying a variable change technique and the Feynman–Kac formula. Finally, we discuss the economic implications of the optimal policy.

On the properties of dynamic value functions in the problem of optimal investment in incomplete markets

2015 ◽  
Vol 22 (1) ◽  
Author(s):  
Michael Mania ◽  
Revaz Tevzadze
Keyword(s):  
Incomplete Markets ◽  
Real Line ◽  
Value Function ◽  
Optimal Solution ◽  
Optimal Investment ◽  
Maximization Problem ◽  
Value Functions ◽  
Utility Maximization Problem ◽  
The Value Function ◽  
Uniformly Bounded

AbstractWe study the analytical properties of a dynamic value function and of an optimal solution to the utility maximization problem in incomplete markets for utility functions defined on the whole real line. It was shown by Kramkov and Sirbu [Ann. Appl. Probab. 16 (2006), no. 3, 1352–1384] that if the relative risk-aversion coefficient of the utility function defined on the half real line is uniformly bounded away from zero and infinity, then the value function at time

Asset Allocation Strategies: Enhanced by Micro-Blog

2019 ◽  
Author(s):  
Zryan Sadik ◽  
Gautam Mitra ◽  
Shradha Berry
Keyword(s):  
Asset Allocation ◽  
Allocation Strategies

Asset Allocation Strategies and Commodities

2018 ◽  
Author(s):  
Claudio Boido
Keyword(s):  
Asset Allocation ◽  
Asset Management ◽  
Central Banking ◽  
Fixed Income ◽  
Fixed Income Securities ◽  
Asset Classes ◽  
Alternative Beta ◽  
Asset Managers ◽  
Selection Of ◽  
Allocation Strategies

As a result of the financial crisis of 2007–2008 and subsequent central banking decisions, the asset management industry changed its asset allocation choices. Asset managers are focusing their attention on the search for new asset classes by taking advantage of the new opportunities to capture risk premia with the aim of exceeding the returns given by traditional investments, including traded equities, fixed income securities, and cash. By doing so, they are trying to improve the selection of alternative assets, such as commodities that sometimes have relatively low correlations with traditional assets. The chapter begins by describing the principles of asset allocation, distinguishing between passive and active asset allocation, also focusing on beta and alternative beta. It then concentrates on how investors can gain exposure to commodities through different investment vehicles and strategies.

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