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| 引用本文： | ��ٻ,���ܻ�. SAHARAЧ�ú����µı����˵�����Ͷ�ʲ���[J]. 应用概率统计, 2020, 36(2): 181-196. DOI: 10.3969/j.issn.1001-4268.2020.02.007 |
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| 作者姓名： | ��ٻ ���ܻ� |
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| 作者单位： | ???????ó?????????????, ???, 201620 |
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| 摘 要： |
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| 关 键 词： | ?????????? SAHARAЧ?ú??? ?????? ?????? |
Optimal Investment Strategies for an Insurer with SAHARA Utility |
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| ZHAO Qian,ZHU Shaohui. Optimal Investment Strategies for an Insurer with SAHARA Utility[J]. Chinese Journal of Applied Probability and Statisties, 2020, 36(2): 181-196. DOI: 10.3969/j.issn.1001-4268.2020.02.007 |
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| Authors: | ZHAO Qian ZHU Shaohui |
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| Affiliation: | School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai, 201620, China |
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| Abstract: | ??In this paper, we consider the optimal investment strategy which maximizes the utility of the terminal wealth of an insurer with SAHARA utility functions. This class of utility functions has non-monotone absolute risk aversion, which is more flexible than the CARA and CRRA utility functions. In the case that the risk process is modeled as a Brownian motion and the stock process is modeled as a geometric Brownian motion, we get the closed-form solutions for our problem by the martingale method for both the constant threshold and when the threshold evolves dynamically according to a specific process. Finally, we show that the optimal strategy is state-dependent. |
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| Keywords: | optimal investment strategy,SAHARA utility function insurer,martingale approach, |
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