Asymptotic investment behaviors under a jump-diffusion risk process

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<title>Asymptotic investment behaviors under a jump-diffusion risk process</title>
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<dateIssued encoding="marc">2017</dateIssued>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Tatíana Belkína and Shangzhen Luo</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080616106">
<topic>Cálculo de probabilidades</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
<identifier type="local">MAP20077000239</identifier>
<part>
<text>01/03/2017 Tomo 21 Número 1 - 2017 , p.36-62</text>
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