{"id":{"repo_id":"rosario","oai_identifier":"oai:repository.urosario.edu.co:10336/20699"},"canonical_url":"https://search.dev.ndltd.org/etd/rosario/oai:repository.urosario.edu.co:10336/20699","repository":{"repo_id":"rosario","name":"Universidad del Rosario","base_url":"https://repository.urosario.edu.co/oai/request"},"display":{"title":"Selección óptima de portafolio para una compañía aseguradora","abstract":"En este documento se estudia el problema en tiempo continuo de selección óptima de portafolio para una compañía aseguradora que respalda las reclamaciones con los beneficios de las venta de contratos de seguros y los ingresos resultantes de invertir en el mercado financiero. Usando el método de martingalas y la dualidad convexa se caracteriza la estrategia que maximiza la utilidad esperada de la ganancia final.","abstract_html":"En este documento se estudia el problema en tiempo continuo de selección óptima de portafolio para una compañía aseguradora que respalda las reclamaciones con los beneficios de las venta de contratos de seguros y los ingresos resultantes de invertir en el mercado financiero. Usando el método de martingalas y la dualidad convexa se caracteriza la estrategia que maximiza la utilidad esperada de la ganancia final.","abstract_has_math":false,"creators":["Castillo Tarazona, Camilo Andre"],"institution":"Universidad del Rosario","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2019,"date_issued":"2019-11-22","date_published":"2019-11-22","updated_at":"2026-07-27T20:46:13Z","subjects":["Control óptimo estocástico","Proceso de difusión con saltos","Método de martingalas","Dualidad convexa","Selección óptima de portafolios","Utilidad CRRA","Economía financiera","Optimal stochastic control","Jump-diffusion process","Martingale approach","Convex duality","Optimal portfolio selection","CRRA utility","Finanzas","Análisis estocástico"],"languages":["spa"],"rights":["info:eu-repo/semantics/openAccess"],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["https://repository.urosario.edu.co/handle/10336/20699"],"render_values":[{"text":"https://repository.urosario.edu.co/handle/10336/20699","href":"https://repository.urosario.edu.co/handle/10336/20699","code":true}]}]},"links":{"outbound_url":"https://doi.org/10.48713/10336_20699","outbound_label":"DOI","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:creator","label":"Author","values":["Castillo Tarazona, Camilo Andre"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2019-11-22","2020-01-13T17:54:42Z"]},{"key":"dc:publisher","label":"Institution","values":["Universidad del Rosario","Facultad de Economía","Maestría en Finanzas Cuantitativas"]},{"key":"dc:type","label":"Dc Type","values":["info:eu-repo/semantics/masterThesis","info:eu-repo/semantics/acceptedVersion"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Control óptimo estocástico","Proceso de difusión con saltos","Método de martingalas","Dualidad convexa","Selección óptima de portafolios","Utilidad CRRA","Economía financiera","Optimal stochastic control","Jump-diffusion process","Martingale approach","Convex duality","Optimal portfolio selection","CRRA utility","Finanzas","Análisis estocástico"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["spa"]},{"key":"dc:rights","label":"Dc Rights","values":["info:eu-repo/semantics/openAccess"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["https://doi.org/10.48713/10336_20699","https://repository.urosario.edu.co/handle/10336/20699"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["En este documento se estudia el problema en tiempo continuo de selección óptima de portafolio para una compañía aseguradora que respalda las reclamaciones con los beneficios de las venta de contratos de seguros y los ingresos resultantes de invertir en el mercado financiero. Usando el método de martingalas y la dualidad convexa se caracteriza la estrategia que maximiza la utilidad esperada de la ganancia final.","In this paper we study a continuous-time asset-allocation problem for a insurance firm that backs up the liabilities raised by the insurance contracts with the underwriting profits and the income resulting from investing in the financial market. Using the martingale approach and convex duality techniques we characterize strategies that maximize expected utility from final wealth under CRRA preferences when the firm have only a class of insurance. We present numerical results for some distributions of claims/liabilities with policy limit."]},{"key":"dc:format","label":"Dc Format","values":["application/pdf"]},{"key":"dc:source","label":"Dc Source","values":["Acharya, V. V., Biggs, J., Richardson, M., and Ryan, S. (2009). On the financial regulation of insurance companies. Stern School of Business, Working paper.","Billio, M., Getmansky, M., Lo, A. W., and Pelizzon, L. (2012). Econometric measures of connectedness and systemic risk in the finance and insurance sectors. Journal of nancial economics, 104(3):535-559.","Cox, J. C. and Huang, C.-f. (1989). Optimal consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory, 49(1):33-83.","Jeanblanc, M., Yor, M., and Chesney, M. (2009). Mathematical methods for fi nancial markets. Springer Science & Business Media.","Karatzas, I., Lehoczky, J. P., Shreve, S. E., and Xu, G.-L. (1991). Martingale and duality methods for utility maximization in an incomplete market. SIAM Journal on Control and optimization, 29(3):702-730.","Karatzas, I. and Shreve, S. E. (1998). Methods of mathematical fi nance, volume 39. Springer.","Kostadinova, R. (2007). Optimal investment for insurers when the stock price follows an exponential levy process. Insurance: Mathematics and Economics, 41(2):250{-263.","Mathews, J., Fink, K., and Escolano, P. (1999). Métodos numéricos con MATLAB. Fuera de colección Out of series. Pearson Educación.","Merton, R. C. (1969). Lifetime portfolio selection under uncertainty: The continuous-time case. The review of Economics and Statistics, pages 247-257.","Perera, R. S. (2010). Optimal consumption, investment and insurance with insurable risk for an investor in a levy market. Insurance: Mathematics and Economics, 46(3):479-484.","Rockafellar, R. T. (1970). Convex analysis, volume 28. Princeton university press.","Valckx, N., Chan-Lau, J. A., Feng, A., Huston, B., Impavido, G., Jobst, A. A., Kiff, J., Lambert, F. J., Sugimoto, N., and Yan, K. (2016). The insurance sector-trends and systemic risk implications. Global Financial Stability Report, IMF.","Wang, N. (2007). Optimal investment for an insurer with exponential utility preference. Insurance: Mathematics and Economics, 40(1):77-84.","Wang, Z., Xia, J., and Zhang, L. (2007). Optimal investment for an insurer: The martingale approach. Insurance: Mathematics and Economics, 40(2):322-334.","Yang, H. and Zhang, L. (2005). Optimal investment for insurer with jump-diffusion risk process. Insurance: Mathematics and Economics, 37(3):615-634.","Zou, B. and Cadenillas, A. (2014). Optimal investment and risk control policies for an insurer: Expected utility maximization. Insurance: Mathematics and Economics, 58:57-67.","instname:Universidad del Rosario","reponame:Repositorio Institucional EdocUR"]},{"key":"dc:title","label":"Title","values":["Selección óptima de portafolio para una compañía aseguradora"]}]}],"canonical_facts":{"dc:creator":["Castillo Tarazona, Camilo Andre"],"dc:date":["2019-11-22","2020-01-13T17:54:42Z"],"dc:description":["En este documento se estudia el problema en tiempo continuo de selección óptima de portafolio para una compañía aseguradora que respalda las reclamaciones con los beneficios de las venta de contratos de seguros y los ingresos resultantes de invertir en el mercado financiero. Usando el método de martingalas y la dualidad convexa se caracteriza la estrategia que maximiza la utilidad esperada de la ganancia final.","In this paper we study a continuous-time asset-allocation problem for a insurance firm that backs up the liabilities raised by the insurance contracts with the underwriting profits and the income resulting from investing in the financial market. Using the martingale approach and convex duality techniques we characterize strategies that maximize expected utility from final wealth under CRRA preferences when the firm have only a class of insurance. We present numerical results for some distributions of claims/liabilities with policy limit."],"dc:format":["application/pdf"],"dc:identifier":["https://doi.org/10.48713/10336_20699","https://repository.urosario.edu.co/handle/10336/20699"],"dc:language":["spa"],"dc:publisher":["Universidad del Rosario","Facultad de Economía","Maestría en Finanzas Cuantitativas"],"dc:rights":["info:eu-repo/semantics/openAccess"],"dc:source":["Acharya, V. V., Biggs, J., Richardson, M., and Ryan, S. (2009). On the financial regulation of insurance companies. Stern School of Business, Working paper.","Billio, M., Getmansky, M., Lo, A. W., and Pelizzon, L. (2012). Econometric measures of connectedness and systemic risk in the finance and insurance sectors. Journal of nancial economics, 104(3):535-559.","Cox, J. C. and Huang, C.-f. (1989). Optimal consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory, 49(1):33-83.","Jeanblanc, M., Yor, M., and Chesney, M. (2009). Mathematical methods for fi nancial markets. Springer Science & Business Media.","Karatzas, I., Lehoczky, J. P., Shreve, S. E., and Xu, G.-L. (1991). Martingale and duality methods for utility maximization in an incomplete market. SIAM Journal on Control and optimization, 29(3):702-730.","Karatzas, I. and Shreve, S. E. (1998). Methods of mathematical fi nance, volume 39. Springer.","Kostadinova, R. (2007). Optimal investment for insurers when the stock price follows an exponential levy process. Insurance: Mathematics and Economics, 41(2):250{-263.","Mathews, J., Fink, K., and Escolano, P. (1999). Métodos numéricos con MATLAB. Fuera de colección Out of series. Pearson Educación.","Merton, R. C. (1969). Lifetime portfolio selection under uncertainty: The continuous-time case. The review of Economics and Statistics, pages 247-257.","Perera, R. S. (2010). Optimal consumption, investment and insurance with insurable risk for an investor in a levy market. Insurance: Mathematics and Economics, 46(3):479-484.","Rockafellar, R. T. (1970). Convex analysis, volume 28. Princeton university press.","Valckx, N., Chan-Lau, J. A., Feng, A., Huston, B., Impavido, G., Jobst, A. A., Kiff, J., Lambert, F. J., Sugimoto, N., and Yan, K. (2016). The insurance sector-trends and systemic risk implications. Global Financial Stability Report, IMF.","Wang, N. (2007). Optimal investment for an insurer with exponential utility preference. Insurance: Mathematics and Economics, 40(1):77-84.","Wang, Z., Xia, J., and Zhang, L. (2007). Optimal investment for an insurer: The martingale approach. Insurance: Mathematics and Economics, 40(2):322-334.","Yang, H. and Zhang, L. (2005). Optimal investment for insurer with jump-diffusion risk process. Insurance: Mathematics and Economics, 37(3):615-634.","Zou, B. and Cadenillas, A. (2014). Optimal investment and risk control policies for an insurer: Expected utility maximization. Insurance: Mathematics and Economics, 58:57-67.","instname:Universidad del Rosario","reponame:Repositorio Institucional EdocUR"],"dc:subject":["Control óptimo estocástico","Proceso de difusión con saltos","Método de martingalas","Dualidad convexa","Selección óptima de portafolios","Utilidad CRRA","Economía financiera","Optimal stochastic control","Jump-diffusion process","Martingale approach","Convex duality","Optimal portfolio selection","CRRA utility","Finanzas","Análisis estocástico"],"dc:title":["Selección óptima de portafolio para una compañía aseguradora"],"dc:type":["info:eu-repo/semantics/masterThesis","info:eu-repo/semantics/acceptedVersion"]},"updated_at":"2026-07-27T20:46:13Z"}