Abstract

This paper studies optimal investment and risk control strategies for an insurer who owns insider information. The insurance risk process is governed by a general jump diffusion process with random parameters and is correlated with the risky asset process in the financial market. We model the inside information by a general random variable related to the insurance risk process and the risky asset process. Under the criterion of expected utility maximization of the terminal wealth, we adopt white noise calculus and BSDE approach to analyze the problem for various utility functions.

中文翻译：

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内幕信息下具有投资和风险控制的保险公司的期望效用最大化

摘要

本文研究了拥有内幕信息的保险公司的最优投资和风险控制策略。保险风险过程受一个带有随机参数的一般跳跃扩散过程支配，并且与金融市场中的风险资产过程相关。我们通过与保险风险过程和风险资产过程相关的一般随机变量对内幕信息进行建模。在终端财富期望效用最大化的准则下，我们采用白噪声演算和BSDE方法来分析各种效用函数的问题。