Speaker：Ximin Rong（Tianjin University ）

Time：2022-05-29, 14:00

Location：Tencent Meeting ID：255744741（No Pwd）

Abstract:

This paper investigates the optimal investment problem with multiple risky assets and correlation. The claim process is described by a Brownian motion with drift under the mean-variance premium principle. The insurer is allowed to invest in one risk-free asset and multiple risky assets whose price processes follow the constant elasticity of variance (CEV) model. Moreover, the correlation between the claim process and each risky asset’s price is taken into account. The insurer’s objective is to maximize the utility of the terminal wealth. By using dynamic programming method, we propose a new form of the value function and derive the optimal investment strategy explicitly for the exponential utility. In addition, we provide some special cases of our model, i.e., the optimal investment problem with two risky assets and with one risky asset. The results show that ignoring the correlation between the claim process and the risky asset’s price process will misestimate the value of risky assets, thereby seriously affecting the insurer’s choice of investment strategy. Finally, the sensitivity analyses are presented to analyze the effects of model parameters on the optimal investment strategy.