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Asymptotic investment behaviors under a jump-diffusion risk process

 
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<dc:creator>Belkína, Tatiana</dc:creator>
<dc:creator>Luo, Shangshen</dc:creator>
<dc:date>2017-03-01</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/160179.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Cálculo de probabilidades</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Asymptotic investment behaviors under a jump-diffusion risk process</dc:title>
<dc:relation xml:lang="es">En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/03/2017 Tomo 21 Número 1 - 2017 , p.36-62</dc:relation>
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