In this paper, we study the optimal investment problem for an insurer, who is allowed to invest in a financial market which consists of $ N $ risky securities modeled by an $ N $-dimensional Itô process. The surplus of the insurer is modeled by a general risk model. For the insurer's wealth, some money (called liquid reserves) can only be used to cope with risk, and can not be invested in the financial market. We suggest that the liquid reserve is a proportion of the total claim amount. By the martingale approach, we derive the optimal strategies for the CARA and the quadratic utilities, respectively.

中文翻译：

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流动储备下的保险公司最佳投资

在本文中，我们研究了保险公司的最优投资问题，该保险公司被允许在金融市场中进行投资，该金融市场包含以N元维Itô流程建模的N元风险证券。保险公司的盈余通过一般风险模型建模。为了保险人的财富，一些钱（称为流动准备金）只能用于应对风险，而不能投资于金融市场。我们建议流动准备金占索赔总额的一部分。通过the方法，我们分别得出了CARA和二次方效用的最优策略。