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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Kostadinova, R. 
Titel:
Optimal investment for insurers, when the stock price follows an exponential Lévy process 
Abstract:
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 claim amount is modeled by a compound Poisson process and the price of the risky asset follows a general exponential Lévy process.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 r...    »
 
Stichworte:
discounted net loss process, exponential Lévy process, integrated insurance risk process, integrated risk management, optimal portfolio, Pareto tail approximation, Value-at-Risk (VaR) 
Zeitschriftentitel:
Insurance: Math. and Econ. 
Jahr:
2007 
Band / Volume:
41 
Heft / Issue:
Seitenangaben Beitrag:
250-263 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 07 
Format:
Text