Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/4067
Title: Risk management in finance and insurance via stochastic optimization
Authors: Liu, Jingzhen
Keywords: Hong Kong Polytechnic University -- Dissertations
Insurance companies -- Investments
Risk (Insurance)
Issue Date: 2010
Publisher: The Hong Kong Polytechnic University
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.
Description: xii, 115 p. : ill. ; 30 cm.
PolyU Library Call No.: [THS] LG51 .H577P AMA 2010 Liu
URI: http://hdl.handle.net/10397/4067
Rights: All rights reserved.
Appears in Collections:Thesis

Files in This Item:
File Description SizeFormat 
b23930494_link.htmFor PolyU Users 162 BHTMLView/Open
b23930494_ir.pdfFor All Users (Non-printable) 1.29 MBAdobe PDFView/Open
Show full item record

Page view(s)

709
Last Week
3
Last month
Checked on May 28, 2017

Download(s)

499
Checked on May 28, 2017

Google ScholarTM

Check



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.