The following information was submitted:
Transactions: WSEAS TRANSACTIONS ON MATHEMATICS
Transactions ID Number: 53-696
Full Name: Ximin Rong
Position: Professor
Age: ON
Sex: Male
Address: School of Science, Tianjin University, No.92, Weijin Road, Tianjin
Country: CHINA
Tel: 86-22-27403424
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E-mail address: rongximin@tju.edu.cn
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Title of the Paper: Robust portfolio selection problem for an insurer with exponential utility preference
Authors as they appear in the Paper: Hui Zhao,Ximin Rong,Jiling Cao
Email addresses of all the authors: zhaohui_tju@hotmail.com,rongximin@tju.edu.cn,jiling.cao@aut.ac.nz
Number of paper pages: 11
Abstract: In this paper, we consider the robust portfolio selection problem for an insurer in the sense of maximizing the exponential utility of his wealth. This special robust investment problem, where underwriting results and a risk-free asset are considered, differs from ordinary robust portfolio selection problems. The insurer has the option of investing in a risk-free asset and multiple risky assets whose returns are described by the factor model. The rate of underwriting return is also assumed to be correlated with returns of risky assets. When the parameters are perturbed in a joint uncertainty set, the robust investment problem for an insurer is established and this problem is reformulated and solved as a cone programming problem. Finally, some computational results are given for raw market data.
Keywords: Robust optimization, Investment for insurers, Joint uncertainty set, Underwriting result, Cone programming, Factor model
EXTENSION of the file: .pdf
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How Did you learn about congress: Robust optimization and applications, Mathematical Finance
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