Asymptotic investment behaviors under a jump-diffusion risk process
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20170014430 | ||
| 003 | MAP | ||
| 005 | 20170517163551.0 | ||
| 008 | 170511e20170301esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20170005421$aBelkína, Tatiana | ||
| 245 | 1 | 0 | $aAsymptotic investment behaviors under a jump-diffusion risk process$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 | ||
| 773 | 0 | $wMAP20077000239$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997-$x1092-0277$g01/03/2017 Tomo 21 Número 1 - 2017 , p.36-62 |