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Optimal Time-Consistent Investment and Premium Control Strategies for Insurers with Constraint under the Heston Model
| Content Provider | MDPI |
|---|---|
| Author | Liu, Zilan Wang, Yijun Huang, Ya Zhou, Jieming |
| Copyright Year | 2022 |
| Description | 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. |
| Starting Page | 1019 |
| e-ISSN | 22277390 |
| DOI | 10.3390/math10071019 |
| Journal | Mathematics |
| Issue Number | 7 |
| Volume Number | 10 |
| Language | English |
| Publisher | MDPI |
| Publisher Date | 2022-03-22 |
| Access Restriction | Open |
| Subject Keyword | Mathematics Operations Research and Management Science Investment Premium Control Short-selling Constraint Mean-variance Criterion the Extended Hjb System |
| Content Type | Text |
| Resource Type | Article |
