Asymptotic optimal investment under interest rate for a class of subexponential distributions

Julia Eisenberg

Scandinavian Actuarial Journal, 2014, vol. 2014, issue 8, 671-689

Abstract: We consider a classical risk model with the possibility of investment and positive interest rate for the riskless bond. The stock price movement is modelled as a geometric Brownian motion, the claim sizes are assumed to have a distribution belonging to a certain subclass of subexponential distributions. In this setting, we study the asymptotic behaviour of the optimal investment strategy under the ruin probability as a risk measure. This problem has been already considered before, but no results were obtained, for instance, for Weibull and Benktander-type-II distributions with certain parameters. We introduce a method which closes this gap.

Date: 2014
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DOI: 10.1080/03461238.2012.756829

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