Copyright © 2013 Hui Zhao et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
This paper studies the optimal investment problem for an insurer in an incomplete market. The insurer's risk process is modeled by a Lévy process and the insurer is supposed to have the option of investing in multiple risky assets whose price processes are described by the standard Black-Scholes model. The insurer aims to maximize the
expected utility of terminal wealth. After the market is completed, we obtain the optimal strategies for quadratic utility and constant absolute risk aversion (CARA) utility explicitly via the martingale approach. Finally, computational results are presented for given raw market data.