Abstract
The control problem of controlling ruin probabilities by investments in a financial market is studied. The insurance business is described by the usual Cramer-Lundberg-type model and the risk driver of the financial market is a compound Poisson process. Conditions for investments to be profitable are derived by means of discrete-time dynamic programming. Moreover Lundberg bounds are established for the controlled model.
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Schäl, M. Control of ruin probabilities by discrete-time investments. Math Meth Oper Res 62, 141–158 (2005). https://doi.org/10.1007/s00186-005-0445-2
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DOI: https://doi.org/10.1007/s00186-005-0445-2
Keywords
- Ruin probability
- Optimal investment
- Financial market
- Dynamic programming
- Markov decision processes
- Optimal control