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Asymptotic investment behaviors under a jump-diffusion risk process
Recurso electrónico / Electronic resource
MAP20170014430
Belkína, Tatiana ‌
Asymptotic investment behaviors under a jump-diffusion risk process / Tatíana Belkína and Shangzhen Luo
Sumario: We study an optimal investment control problem for an insurance company. The surplus process follows the Cramer-Lundberg process with perturbation of a Brownian motion. The company can invest its surplus into a risk-free asset and a Black-Scholes risky asset. The optimization objective is to minimize the probability of ruin. We show by new operators that the minimal ruin probability function is a classical solution to the corresponding HJB equation. Asymptotic behaviors of the optimal investment control policy and the minimal ruin probability function are studied for low surplus levels with a general claim size distribution. Some new asymptotic results for large surplus levels in the case with exponential claim distributions are obtained.We consider two cases of investment control: unconstrained investment and investment with a limited amount
En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/03/2017 Tomo 21 Número 1 - 2017 , p.36-62
1. Cálculo de probabilidades ‌. 2. Cálculo actuarial ‌. I. Luo, Shangshen ‌. II. Title.