%0 Journal Article
%T Optimal Deterministic Investment Strategies for Insurers
%A Nicole B£¿uerle
%A Ulrich Rieder
%J Risks
%D 2013
%I MDPI AG
%R 10.3390/risks1030101
%X We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black¨CScholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that investment strategies have to be deterministic. This leads to deterministic control problems, which are quite easy to solve. Moreover, it turns out that there are some interesting links between the optimal investment strategies of these problems. Finally, we also show that this approach works in the L¨¦vy process framework.
%K deterministic control problem
%K mean-variance
%K risk measure
%K L¨¦vy process
%U http://www.mdpi.com/2227-9091/1/3/101