Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第53回ISCIE「確率システム理論と応用」国際シンポジウム(2021年10月, 草津)
Numerical study for expected power utility maximization of insurers
Hiroaki HataKazuhiro Yasuda
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2022 年 2022 巻 p. 93-101

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In this paper, we give some numerical results related to Hata and Yasuda [1] that constructed an optimal investment and reinsurance strategies of maximizing the expected power utility maximization problem for an insurer. In our numerical experiments, we use pathwise analysis and the Monte-Carlo simulation, and compare four cases which have or do not have investment and reinsurance. And as performance criteria, we adopt return, risk, Sharp ratio, terminal wealth, utility values and their ranking.
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© 2022 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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