Scandinavian Actuarial Journal · 2004 · 68 citations · 16 references
BusinessEconomicsFinanceActuarial ScienceProbability TheoryStochastic ProcessesInvestment TheoryRisk TheoryStochastic ControlOptimal Control Of Stochastic SystemsOptimal InvestmentProbability Of RuinStochastic Differential Systems
We consider a risk process with the possibility of investment into a risky asset. The aim of the paper is to obtain the asymptotic behaviour of the ruin probability under the optimal investment strategy in the small claims case. In addition we prove convergence of the optimal investment level as the initial capital tends to infinity.
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Stochastic Processes for Insurance and Finance
Larry Y. Tzeng, Volker Schmidt, Hanspeter Schmidli et al. · Journal of Risk & Insurance · 2001 · 863 citations
Optimal investment for insurers
Christian Hipp, Michael Plum · Insurance Mathematics and Economics · 2000 · 319 citations
Business, Insurance, Risk Management +12