The periodic risk model with investment
We consider a periodic risk model with the possibility of investing into a risky asset, given by a geometrical Brownian motion. The aim is to maximize the adjustment coefficient of the risk process. It is shown that the optimal investment strategy only depends on the averaged data of the model and is constant over time. Thus maximizing the adjustment coefficient is a very weak optimization criterion.
Year of publication: |
2008
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Authors: | Kötter, Mirko ; Bäuerle, Nicole |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 42.2008, 3, p. 962-967
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Publisher: |
Elsevier |
Saved in:
Online Resource
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