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.
Lingua originale | English |
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Titolo della pubblicazione ospite | Rapporti Scientifici AMASES |
Pagine | 1-14 |
Numero di pagine | 14 |
Stato di pubblicazione | Pubblicato - 2006 |
Evento | XXIX Convegno AMASES - Palermo Durata: 12 set 2005 → 15 set 2005 |
Convegno
Convegno | XXIX Convegno AMASES |
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Città | Palermo |
Periodo | 12/9/05 → 15/9/05 |
Keywords
- optimal control
- ruin probability