Optimal Investment Strategy For Insurance Companies

The insurance company is a special financial institutions，and the fund management ofthe insurance has been a hot research field. At the beginning，Scholars dedicated to thestudy of the insurance company’s bankruptcy probability，and now they began to study theproblem of the insurance company’s investment portfolio when the insurance company caninvest in the stock market, money market and credit derivatives. And it is a hard work tomake a wise choose, because the assets of the insurance company is constantly changingand the rate of return is uncertain. so in this paper, we study the optimal investment ofinsurance companies from two aspect. On the one hand, we want to find a more appropriatemodel to describe the process of the insurance company’s assets, on the other hand we sue amore realistic model to describe the insurance companies to invest in the market.In the first chapter, we introduce the insurance company investment researchbackground and practical significance to study the current situation as well as the keytechnologies to solve.In the second chapter, we give some basic knowledge of the thesis processapplications.In the third chapter, we consider the insurance company to invest in a risky asset and arisk-free asset. The prices of the risky assets meet the Markov modulated geometricBrownian motion. To express the requirements of the investment risk is to ensure thesecurity of property in the period of the investors, consider joining the VaR limit, and giventhe limitations of the HJB equation. Finally, we give the first order optimality conditionsand Lagrange extreme value method to model combined with the HJB equation to solve foroptimal investment and consumption strategies.In the fourth chapter, we have established insurance company investment jumpdiffusion market model, and using the martingale method to solve for the optimalinvestment strategy of the insurance company maximize utility requirements.In the fifth chapter, we summarize the research made in this article as well as futureprospects.