| Abstract: | This paper considers the optimal investment problem for an insurer in the sense of maximizing the adjustment coefficient of the risk process.The authors propose a modified periodic risk model in which the periodic risk process is perturbed by a standard Brownian motion.The insurer can invest in multiple risky assets and one risk-free asset and the correlations between the risky assets and the risk process are considered.Optimal strategy is obtained explicitly,which is a function of time and related to the risk process.The effects of market parameters on the optimal strategy are discussed and a numerical example is also given. |
