Optimal investment for insurers

  title={Optimal investment for insurers},
  author={Radostina Kostadinova},
  • Radostina Kostadinova
  • Published 2005
We consider a stochastic model for the wealth of an insurance company which has the possibility to invest into a risky and a riskless asset under a constant mix strategy. The total insurance claim amount is modeled by a compound Poisson process and the price of the risky asset follows a geometric Brownian motion. We investigate the resulting integrated risk process and the corresponding discounted net loss process. This opens up a way to measure the risk of a negative outcome of the integrated… CONTINUE READING