Skip to Content

Department of Applied Finance and Actuarial Studies

Ken Siu Seminar

Research Seminars - business and economics
  • Topic: A BSDE Approach to a Risk-Based Optimal Investment of an Insurer
  • Speaker: Associate Professor Ken Siu, Department of Applied Finance and Actuarial Studies, Macquarie University
  • Venue:
  • When: 12th October, 2011, (Wed)
  • Time:

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 modelled by a diffusion approximation to a compound Poisson risk process. The goal of the insurer is to select an optimal portfolio so as to minimize the risk described by a convex risk measure of his/her terminal wealth.

The optimal investment problem is then formulated as a zero-sum stochastic differential game between the insurer and the market. The BSDE approach is used to solve the game problem. It leads to a simple and natural approach for the existence and uniqueness of an optimal strategy of the game problem without Markov assumptions. Closed-form solutions to the optimal strategies of the insurer and the market are obtained in some particular cases.

(This is joint work with Professor Robert J. Elliott).

Download seminar slides.


More Information

Related research seminars