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A large deviations approach to optimal long term investment

✍ Scribed by Huyên Pham

Publisher
Springer-Verlag
Year
2003
Tongue
English
Weight
198 KB
Volume
7
Category
Article
ISSN
0949-2984

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✍ Robert J. Elliott; Tak Kuen Siu 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 357 KB

We discuss a backward stochastic differential equation, (BSDE), approach to a risk-based, optimal investment problem of an insurer. A simplified continuous-time economy with two investment vehicles, namely, a fixed interest security and a share, is considered. The insurer's risk process is modeled b