Optimization of insurance broker's investment, consumption and the probability of survival with constant rate of return under exponential utility function
Journal Title: JOURNAL OF ADVANCES IN MATHEMATICS - Year 2014, Vol 7, Issue 1
Abstract
In this study, we take the risk reserve of an insurance broker to follow Brownian motion with drift and tackle an optimal portfolio selection problem of the company. The investment case considered was insurance broker that trades two assets: the money market account (bond) growing at a rate and a risky stock with an investment behavior in the presence of a stochastic cash flow or a risk process, continuously in the economy. Our focus was on obtaining investment strategies that are optimal in the sense of optimizing the returns of the company. We established among others that, the optimized investment in the assets and the optimal value function are dependent on horizon and the wealth. It is recommended that the broker should take into consideration this horizon dependency when making policy decisions.
Authors and Affiliations
Silas Abahia Ihedioha, Bright O. Osu
Keywords
Related Articles
- EP ID EP651258
- DOI 10.24297/jam.v7i1.2580
- Views 191
- Downloads 0
Homotopy Continuation Method of Arbitrary Order of Convergence for Solving Differenced Hyperbolic Kepler's Equation
In this paper, an efficient iterative method of arbitrary integer order of >=2 will be established for the solution of differenced hyperbolic convergent Kepler's equation. The method is of dynamic nature in the sense...
The Classification of Permutation Groups with Maximum Orbits
Let G be a permutation group on a set with no fixed points in and let m be a positive integer. If no element of G moves any subset of by more than m points (that is, if for every and g 2 G), and the lengths two of orbits...
Ephemerides of Visual Binaries of highly eccentric orbits
Ephemerides of binary stars are important information for astronomical observation and research. In this paper, ephemerides of the visual binaries ADS784, ADS13665, A1529, ADS836, ADS 3434, ADS1105 and ADS 3315 have been...
Confidence Interval For The Estimation of The Correlation Coefficient
Pearsons correlation coefficient is used to measure the influence of one quantitative variable on another quantitative variable. Basing on the sign of correlation, the type of dependence (positive/negative) ca...
On Soft gr-Closed sets in Soft Topological Spaces
The aim of this paper is to introduce soft pgr-closed sets in topological spaces which is defined over the universe of the given set with a fixed set of parameters. Further, we investigate its properties and its relation...