On optimal investment and subexponential claims

DOI10.1016/J.INSMATHECO.2004.09.002zbMATH Open1110.91019OpenAlexW2032113189MaRDI QIDQ2483945FDOQ2483945

Authors: Hanspeter Schmidli 

Publication date: 1 August 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.09.002

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zbMATH Keywords

Hamilton-Jacobi-Bellman equationOptimal controlGeometric Brownian motionRuin probabilityRegular variation

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal investment for insurers
• Distributions that are both subexponential and in the domain of attraction of an extreme-value distribution
• Title not available (Why is that?)
• In the insurance business risky investments are dangerous
• On minimizing the ruin probability by investment and reinsurance
• Ruin probabilities in the presence of regularly varying tails and optimal investment.
• Optimal Dynamic XL Reinsurance
• Asymptotics of ruin probabilities for controlled risk processes in the small claims case
• Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
• On R. Von Mises' Condition for the Domain of Attraction of $\exp(-e^{-x})^1$

Cited In (20)

• The ruin probability in the presence of extended regular variation and optimal investment
• Optimal expected exponential utility of dividend payments in a Brownian risk model
• Optimal strategies in a risk selection investment model
• Optimal investment strategy for risk model of delayed claims
• Optimal investment for insurer with jump-diffusion risk process
• Minimal ruin probabilities and investment under interest force for a class of subexponential distributions
• Asymptotically optimal investment for risk model with random income and diffusions
• Optimal investment-reinsurance policy for an insurance company with VaR constraint
• Ruin probability in a risk model with variable premium intensity and risky investments
• Ruin probabilities under general investments and heavy-tailed claims
• Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
• Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
• Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
• Asymptotic optimal investment under interest rate for a class of subexponential distributions
• On the distribution tail of an integrated risk model: A numerical approach
• The periodic risk model with investment
• Asymptotic and numerical analysis of the optimal investment strategy for an insurer
• A two-layer stochastic differential investment and reinsurance game with default risk under the bi-fractional Brownian motion environment
• Ruin probability in the presence of interest earnings and tax payments
• The theory of optimal stochastic control as applied to insurance underwriting cycles

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