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

Michele Longo, Gabriele Stabile

Risultato della ricerca: Contributo in libroContributo a convegno

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 originaleEnglish
Titolo della pubblicazione ospiteRapporti Scientifici AMASES
Pagine1-14
Numero di pagine14
Stato di pubblicazionePubblicato - 2006
EventoXXIX Convegno AMASES - Palermo
Durata: 12 set 200515 set 2005

Convegno

ConvegnoXXIX Convegno AMASES
CittàPalermo
Periodo12/9/0515/9/05

Keywords

  • optimal control
  • ruin probability

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