An optimal investment strategy with maximal risk aversion and its ruin probability (Q1006559)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An optimal investment strategy with maximal risk aversion and its ruin probability |
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An optimal investment strategy with maximal risk aversion and its ruin probability (English)
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25 March 2009
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The authors consider an optimal investment problem of an insurer when the company has the opportunity to invest in a risky asset using stochastic control technique. An explicit solution of the Hamilton-Jacobi-Bellmann equation is given when the risk preferences are exponential. The bound for the ruin probability is estimated in case when the insurer follows the optimal strategy.
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risk process
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ruin probality
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stochastical control
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diffusions
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optimal investment
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exponential utility
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Lundberg parameter
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Hamilton-Jacobi-Bellmann equations
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