Author: Liu, Jingzhen
Title: Risk management in finance and insurance via stochastic optimization
Degree: Ph.D.
Year: 2010
Subject: Hong Kong Polytechnic University -- Dissertations
Insurance companies -- Investments
Risk (Insurance)
Department: Department of Applied Mathematics
Pages: xii, 115 p. : ill. ; 30 cm.
Language: English
Abstract: This thesis is concerned with the study of the risk-constrained portfolio selection problem arising from an ordinary investor and the insurer being an investor. We first consider the problem for an insurer who can invest her surplus into financial market. With value at risk (VaR) imposed as the dynamic risk constraint, the portfolio selection problem is considered with two objectives: the ruin probability minimization and wealth utility maximization. A closed-form solution is found by solving the associated Hamilton-Jacob-Bellman (HJB) equation for the first problem. By using the exponential utility function, we solve the second problem by transforming this stochastic optimal control problem into a deterministic optimal control one and using control parametrization method. Second, we consider the risk-constrained utility maximizing problem with a jump diffusion model and a regime switching model for an ordinary investor. Conditional value at risk (CVaR) and maximal value at risk (MVaR) are used as the risk constraint in the two models, respectively. The associated HJB equations are treated with numerical techniques.
Rights: All rights reserved
Access: open access

Files in This Item:
File Description SizeFormat 
b23930494.pdfFor All Users1.29 MBAdobe PDFView/Open

Copyright Undertaking

As a bona fide Library user, I declare that:

  1. I will abide by the rules and legal ordinances governing copyright regarding the use of the Database.
  2. I will use the Database for the purpose of my research or private study only and not for circulation or further reproduction or any other purpose.
  3. I agree to indemnify and hold the University harmless from and against any loss, damage, cost, liability or expenses arising from copyright infringement or unauthorized usage.

By downloading any item(s) listed above, you acknowledge that you have read and understood the copyright undertaking as stated above, and agree to be bound by all of its terms.

Show full item record

Please use this identifier to cite or link to this item: