Robust portfolio selection problem for an insurer with exponential utility preference

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aut.researcherCao, Jiling
dc.contributor.authorZhao, H
dc.contributor.authorRong, X
dc.contributor.authorCao, J
dc.date.accessioned2011-11-11T00:46:36Z
dc.date.available2011-11-11T00:46:36Z
dc.date.copyright2011
dc.date.issued2011
dc.description.abstractIn this paper, we consider the robust portfolio selection problem for an insurer in the sense of maximizing the exponential utility of his wealth. This special robust investment problem, where underwriting results and a risk-free asset are considered, differs from ordinary robust portfolio selection problems. The insurer has the option of investing in a risk-free asset and multiple risky assets whose returns are described by the factor model. The rate of underwriting return is also assumed to be correlated with returns of risky assets. When the parameters are perturbed in a joint uncertainty set, the robust investment problem for an insurer is established and this problem is reformulated and solved as a cone programming problem. Finally, some computational results are given for raw market data.
dc.identifier.citationWSEAS Transactions on Mathematics, vol.10(9), pp.321 - 331
dc.identifier.issn1109-2769 (print) 2224-2880 (online)
dc.identifier.urihttps://hdl.handle.net/10292/2499
dc.languageEnglish
dc.publisherWorld Scientific and Engineering Academy and Society
dc.relation.urihttp://www.worldses.org/journals/mathematics/
dc.relation.urihttp://www.wseas.us/e-library/transactions/mathematics/2011/53-696.pdf
dc.rightsThe WSEAS Transactions are the only open access journals in the world where the Authors do not pay any kind of registration fees or publication fees or "donation" (the full PDF files of the papers are permanently open for everybody, without any restrictions, while the authors are not charged with any kind of fees). The WSEAS Journals are available both on the web (free for all) and hard-copy for our customers, libraries and indexes. (Please see Citation and Publisher’s Version)
dc.rights.accessrightsOpenAccess
dc.subjectRobust optimization
dc.subjectInvestment for insurers
dc.subjectJoint uncertainty set
dc.subjectUnderwriting result
dc.subjectCone programming
dc.subjectFactor model
dc.titleRobust portfolio selection problem for an insurer with exponential utility preference
dc.typeJournal Article
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