The periodic risk model with investment

Mirko Kötter and Nicole Bäuerle

Insurance: Mathematics and Economics, 2008, vol. 42, issue 3, 962-967

Abstract: We consider a periodic risk model with the possibility of investing into a risky asset, given by a geometrical Brownian motion. The aim is to maximize the adjustment coefficient of the risk process. It is shown that the optimal investment strategy only depends on the averaged data of the model and is constant over time. Thus maximizing the adjustment coefficient is a very weak optimization criterion.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:42:y:2008:i:3:p:962-967

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