Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift

S. David Promislow and Virginia Young

North American Actuarial Journal, 2005, vol. 9, issue 3, 110-128

Abstract: We extend the work of Browne (1995) and Schmidli (2001), in which they minimize the probability of ruin of an insurer facing a claim process modeled by a Brownian motion with drift. We consider two controls to minimize the probability of ruin: (1) investing in a risky asset and (2) purchasing quota-share reinsurance. We obtain an analytic expression for the minimum probability of ruin and the corresponding optimal controls, and we demonstrate our results with numerical examples.

Date: 2005
References: Add references at CitEc
Citations: View citations in EconPapers (92)

Downloads: (external link)
http://hdl.handle.net/10.1080/10920277.2005.10596214 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:uaajxx:v:9:y:2005:i:3:p:110-128

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/uaaj20

DOI: 10.1080/10920277.2005.10596214

Access Statistics for this article

North American Actuarial Journal is currently edited by Kathryn Baker

More articles in North American Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().