Control of ruin probabilities by discrete-time investments

Manfred Schäl ()

Mathematical Methods of Operations Research, 2005, vol. 62, issue 1, 158 pages

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. Copyright Springer-Verlag Berlin Heidelberg 2005

Keywords: Ruin probability; Optimal investment; Financial market; Dynamic programming; Markov decision processes; Optimal control; 93E20; 91B30; 90C40 (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s00186-005-0445-2

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