Sub-optimal investment for insurers

Michele Longo, Gabriele Stabile

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

Abstract

We consider the investment problem for a non-life insurance company seeking to minimize the ruin probability. Its reserve is described by a perturbed risk process possibly correlated with the financial market. Assuming exponential claim size, the Hamilton-Jacobi-Bellman equation reduces to a first order nonlinear ordinary differential equation, which seems hard to solve explicitly. We study the qualitative behavior of its solution and determine the Cramer-Lundberg approximation. Moreover, our approach enables to find very naturally that the optimal investment strategy is not constant. Then, we analyze how much the company looses by adopting sub-optimal constant (amount) investment strategies.
Lingua originaleEnglish
pagine (da-a)4298-4312
Numero di pagine15
RivistaCOMMUNICATIONS IN STATISTICS. THEORY AND METHODS
Volume49
DOI
Stato di pubblicazionePubblicato - 2019

Keywords

  • Insurance risk process
  • Investment
  • Ruin probability
  • Sub-optimal strategies

Fingerprint Entra nei temi di ricerca di 'Sub-optimal investment for insurers'. Insieme formano una fingerprint unica.

Cita questo