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...

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. ...

Durch die Deregulierung des deutschen Versicherungsmarktes haben die deutschen Lebensversicherungsunternehmen ganz neue Freiheiten bei der Gestaltung ihrer Produkte erhalten. Durch diese neue Dimension der Flexibilität ist es jetzt möglich, spezifischer auf die Probleme und Bedürfnisse...

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...