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Asymptotic investment behaviors under a jump-diffusion risk process

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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100  ‎$0‎MAPA20170005421‎$a‎Belkína, Tatiana
24510‎$a‎Asymptotic investment behaviors under a jump-diffusion risk process‎$c‎Tatíana Belkína and Shangzhen Luo
520  ‎$a‎We 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.
650 4‎$0‎MAPA20080616106‎$a‎Cálculo de probabilidades
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
700  ‎$0‎MAPA20080653590‎$a‎Luo, Shangshen
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎01/03/2017 Tomo 21 Número 1 - 2017 , p.36-62