Asymptotic optimal investment under interest rate for a class of subexponential distributions

DOI10.1080/03461238.2012.756829MaRDI QIDQ4576874zbMATH OpenOpenAlexFDO

Authors Julia Eisenberg

Publication date 11 July 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2012.756829

zbMATH Keywords

Hamilton-Jacobi-Bellman equationoptimal controlruin probabilitysubexponential distributions

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1183917 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• An Introduction to Heavy-Tailed and Subexponential Distributions
• Asymptotics of ruin probabilities for controlled risk processes in the small claims case
• In the insurance business risky investments are dangerous
• Minimal ruin probabilities and investment under interest force for a class of subexponential distributions
• On Cramér-like asymptotics for risk processes with stochastic return on investments
• On optimal investment and subexponential claims
• Power tailed ruin probabilities in the presence of risky investments.
• Real Analysis and Applications
• Ruin probabilities and investment under interest force in the presence of regularly varying tails
• Ruin probabilities in the presence of regularly varying tails and optimal investment.
• Ruin probability in the presence of risky investments

Cited in

(5)

• The asymptotic behavior of the optimal cash holding strategy under a class of utility functions
• On optimal investment and subexponential claims
• Asymptotically optimal investment for risk model with random income and diffusions
• Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment

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