Asymptotic investment behaviors under a jump-diffusion risk process

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      <subfield code="a">Belkína, Tatiana</subfield>
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      <subfield code="a">Asymptotic investment behaviors under a jump-diffusion risk process</subfield>
      <subfield code="c">Tatíana Belkína and Shangzhen Luo</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="a">Cálculo de probabilidades</subfield>
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      <subfield code="t">North American actuarial journal</subfield>
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      <subfield code="g">01/03/2017 Tomo 21 Número 1 - 2017 , p.36-62</subfield>
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