An optimal investment strategy with maximal risk aversion and its ruin probability

Begoña Fernández (), Daniel Hernández-Hernández (), Ana Meda () and Patricia Saavedra ()

Mathematical Methods of Operations Research, 2008, vol. 68, issue 1, 159-179

Abstract: In this paper we study an optimal investment problem of an insurer when the company has the opportunity to invest in a risky asset using stochastic control techniques. A closed form solution is given when the risk preferences are exponential as well as an estimate of the ruin probability when the optimal strategy is used. Copyright Springer-Verlag 2008

Keywords: Risk process; Ruin probability; Stochastic control; Diffusions; Optimal investment; Exponential utility; Lundberg parameter; Hamilton–Jacobi–Bellman equations; Primary 60H30; 91B30; 93E20; Secondary 60G44; 62P05; 60K10 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:68:y:2008:i:1:p:159-179

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DOI: 10.1007/s00186-007-0191-8

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