Ruin probabilities and optimal investment: The case of dependence between financial and insurance risks

Michele Longo, Gabriele Stabile

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We consider an insurance company whose reserve is described by a perturbed compound Poisson risk process. The company may invest part of the reserve in a financial market index. We allow the financial risk and the insurance risk to be dependent. We study how the introduction of dependence between these two risks affects the minimization of the ruin probability as well as the optimal investment strategy. Moreover, we provide an upper bound for the ruin probability.
Original languageEnglish
Title of host publicationRapporti Scientifici AMASES
Pages1-14
Number of pages14
Publication statusPublished - 2006
EventXXIX Convegno AMASES - Palermo
Duration: 12 Sep 200515 Sep 2005

Conference

ConferenceXXIX Convegno AMASES
CityPalermo
Period12/9/0515/9/05

Keywords

  • optimal control
  • ruin probability

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