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Given an insurance Portfolio, investment in new business is used to minimize the probability of technical ruin for the total position. This is a simple stochastic control problem for which solutions can be characterized and computed when the risk processes for old and new business are modelled...
Persistent link: https://www.econbiz.de/10005845998
This paper considers a problem of DU (Ee and Richardson in an economy in which there are two observable processes X and Y both driven by Brownian motions.
Persistent link: https://www.econbiz.de/10005846360
We consider a risk process modelled as a compound Poisson process. The ruin probability of this risk process is minimized by the choice of a suitable investment strategy for a capital market index. ...
Persistent link: https://www.econbiz.de/10005845999
An optimal control problem is considered where a risky asset is used for investment and this investment is ...nanced by initial wealth as well as by a state dependent income. The objektive function is accumulated discounted aspected utility of the wealth, where the utility function is increasing...
Persistent link: https://www.econbiz.de/10005846358
We consider a risk process modelled as a compound Poisson process. We find the otimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation as well as a...
Persistent link: https://www.econbiz.de/10005846359
... The aim of the paper is to obtain the asymptotic behaviour of the ruin probability under the optimal investment strategy in the small claims case ...
Persistent link: https://www.econbiz.de/10005846376
Consider the following stylized model for insurance business: X1, X2,...the total sum of claims per period are iid nonnegative integer valued, c the total premium per period is a positive integer, and the initial surplus s is a non negative integer. The Reserve R(t) of the company without...
Persistent link: https://www.econbiz.de/10005846378
In a talk given at the Royal Statistical Society of London, Karl Borch in 1967 made the following statement (see Taksar 44):...It took some more time until the first papers on stochastic control in insurance appeared. Since then we can see a rapid development of this field with a series of...
Persistent link: https://www.econbiz.de/10005846381
Persistent link: https://www.econbiz.de/10005846696