Stochastic differential portfolio games for an insurer in a jump-diffusion risk process |
| |
Authors: | Xiang Lin Chunhong Zhang Tak Kuen Siu |
| |
Institution: | 1. School of Mathematical Science and Computing Technology, Central South University, No. 22 South Shaoshan Road, Changsha, 410075, Hunan, China 2. Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University, Sydney, NSW, 2109, Australia
|
| |
Abstract: | We discuss an optimal portfolio selection problem of an insurer who faces model uncertainty in a jump-diffusion risk model
using a game theoretic approach. In particular, the optimal portfolio selection problem is formulated as a two-person, zero-sum,
stochastic differential game between the insurer and the market. There are two leader-follower games embedded in the game
problem: (i) The insurer is the leader of the game and aims to select an optimal portfolio strategy by maximizing the expected
utility of the terminal surplus in the “worst-case” scenario; (ii) The market acts as the leader of the game and aims to choose
an optimal probability scenario to minimize the maximal expected utility of the terminal surplus. Using techniques of stochastic
linear-quadratic control, we obtain closed-form solutions to the game problems in both the jump-diffusion risk process and
its diffusion approximation for the case of an exponential utility. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|