CEMAPRE Seminar

Monday, March 16, 2009

Optimal insurance demand and investment in a dynamic mean-variance framework


Enrico Biffis
(Imperial College Business School, Imperial College London)

Abstract: I study optimal retention levels for insurers willing to mitigate their risk exposure by taking positions in financial and reinsurance markets. I revisit De Finetti's classical results for mean-variance agents in a setting where uncertainty is generated by a class of processes with (conditionally) independent increments. Optimal investment and retention strategies are determined under different regulatory constraints, including bankruptcy prohibition in some special cases.

Monday, March 16, 2009
Time: 18h00
Room: Sala Santander, Edificio Quelhas, ISEG
http://cemapre.iseg.ulisboa.pt/seminars/cemapre/