In this paper, we consider the optimal investment strategy which maximizes the utility of the terminal wealth of an insurer with SAHARA utility functions. This class of utility functions has non-monotone absolute risk aversion, which is more flexible than the CARA and CRRA utility functions. In the case that the risk process is modeled as a Brownian motion and the stock process is modeled as a geometric Brownian motion, we get the closed-form solutions for our problem by the martingale method for both the constant threshold and when the threshold evolves dynamically according to a specific process. Finally, we show that the optimal strategy is state-dependent.
he project was supported by the National Natural Science Foundation of China (Grant No. 11601320).
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��ٻ; ���ܻ�. SAHARAЧ�ú����µı����˵�����Ͷ�ʲ���[J]. Ӧ�ø���ͳ��, 2020, 36(2): 181-196.
ZHAO Qian; ZHU Shaohui. Optimal Investment Strategies for an Insurer with SAHARA Utility. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2020, 36(2): 181-196.