Abstract

In the present paper, we investigate the optimal investment strategies for an insurer with the liquid constraint. The insurer’s surplus is modeled by a Lévy process. The insurer can invest in N risky assets and a risk-free asset. However, in reality, the insurer needs to keep partial amount of his wealth as liquid reserves to meet with the management, which is called as the liquid constraint. We assume that the liquid reserve is a proportion of the insurer’s wealth. Using the martingale approach, we derive the explicit optimal investment strategies for both CARA and quadratic utilities.

中文翻译：

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具有流动性约束的保险公司的最优投资策略

摘要

在本文中，我们研究了具有流动性约束的保险公司的最优投资策略。保险公司的盈余通过 Lévy 过程建模。保险公司可以投资 N 个风险资产和一个无风险资产。然而，在现实中，保险公司需要保留部分财富作为流动储备以满足管理层的需求，这被称为流动性约束。我们假设流动储备是保险公司财富的一部分。使用鞅方法，我们得出了 CARA 和二次效用的显式最优投资策略。