Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process

DOI10.1080/10920277.2016.1246252zbMath1414.91164arXiv1502.02286OpenAlexW1524463654MaRDI QIDQ5379206

Tatiana Belkina, Shangzhen Luo

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.02286

zbMATH Keywords

Cramer-Lundberg processminimal ruin probability functionoptimal investment control for insurance company

Mathematics Subject Classification ID

Related Items (3)

A note on the convexity of ruin probabilities ⋮ Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process ⋮ Optimal reinsurance-investment problem under mean-variance criterion with \(n\) risky assets

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