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business considered is modelled by a compound Poisson process with the Black-Scholes type market index. The authors show that the ruin probability of this risk process is minimized by the choice of a suitable investment strategy for a capital market index. Let \\(T(t)\\), \\(t \\geq 0,\\) be the surplus process. The optimal invested amount \\(A_t\\), \\(t \\geq 0,\\) at time \\(t\\) has the following properties: the amount of money \\(A_t = A(T(t))\\); \\(A(0) = 0\\); the derivative \\(A'\\) has a pole at \\(0\\); the function \\(A\\) remains bounded for exponential claim sizes, and it is unbounded for heavy-tailed claim size distributions. The result is obtained with the aid of the Bellman equation - a second order nonlinear integro-differential equation - which characterizes the value function and the optimal strategy. More explicit solutions are determined when the claim size distribution is exponential, in which case a numerical example is also provided. Another example refers to the case of Pareto claim size. NEWLINENEWLINENEWLINEUsing in the model a Brownian motion with drift in place of the compound Poisson process, \\textit{S. Browne} [Meth. Oper. Res. 20, 937-958 (1995; Zbl 0846.90012)] obtained the quite different result: the optimal strategy is the investment of a constant amount of money in the risky asset, irrespectively of the size of the surplus.","type":"string"},"datatype":"string"},"type":"statement","id":"Q5942779$8C6F83BE-5BC9-4D76-9032-88E9357E3719","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:5942779","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:5942779"}}}}}