Asymptotics of ruin probabilities for controlled risk processes in the small claims case

DOI10.1080/03461230410000538zbMath1087.62116OpenAlexW2135676806MaRDI QIDQ5467663

Christian Hipp, Hanspeter Schmidli

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1080/03461230410000538

zbMATH Keywords

optimal controlmartingaleruin probabilitychange of measuregeometric Brownian motionadjustment coefficientCramér-Lundberg approximationLundberg bounds

Mathematics Subject Classification ID

Related Items (34)

Optimal control of risk exposure, reinsurance and investments for insurance portfolios ⋮ Ruin probability in a risk model with variable premium intensity and risky investments ⋮ Optimal investment and proportional reinsurance in the Sparre Andersen model ⋮ Optimal investment for an insurer with exponential utility preference ⋮ Asymptotic and numerical analysis of the optimal investment strategy for an insurer ⋮ Sub-optimal investment for insurers ⋮ Asymptotic optimal investment under interest rate for a class of subexponential distributions ⋮ Controlled risk processes in discrete time: lower and upper approximations to the optimal probability of ruin ⋮ Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model ⋮ Restricted coherent risk measures and actuarial solvency ⋮ Multiple per-claim reinsurance based on maximizing the Lundberg exponent ⋮ Dynamic proportional reinsurance and approximations for ruin probabilities in the two-dimensional compound Poisson risk model ⋮ Exponential change of measure for general piecewise deterministic Markov processes ⋮ Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process ⋮ Optimal investment with multiple risky assets under short-selling prohibition in a periodic environment ⋮ Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer ⋮ Upper bound for finite-time ruin probability in a Markov-modulated market ⋮ Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process ⋮ An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments ⋮ On ruin probability minimization under excess reinsurance ⋮ Optimal investment under transaction costs for an insurer ⋮ Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model ⋮ Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies ⋮ On optimal investment and subexponential claims ⋮ Optimal Proportional Reinsurance and Ruin Probability ⋮ An optimal investment strategy with maximal risk aversion and its ruin probability ⋮ Optimal reinsurance and investment with unobservable claim size and intensity ⋮ ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS ⋮ Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest ⋮ Optimal investment and proportional reinsurance with constrained control variables ⋮ Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition ⋮ Optimisation in Non-Life Insurance ⋮ The restricted convex risk measures in actuarial solvency ⋮ Authors’ Reply: On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion - Discussion by Hailiang Yang

Cites Work

• Risk theory for the compound Poisson process that is perturbed by diffusion
• Optimal proportional reinsurance policies for diffusion models with transaction costs
• Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
• Asymptotic ruin probabilities and optimal investment
• Optimal investment for investors with state dependent income, and for insurers
• On minimizing the ruin probability by investment and reinsurance
• Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion
• Optimal proportional reinsurance policies for diffusion models
• Optimal investment for insurers

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