The Markov-Modulated Risk Model with Investment

Mirko Kötter () and Nicole Bäuerle ()
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Mirko Kötter: University of Hannover
Nicole Bäuerle: University of Karlsruhe

A chapter in Operations Research Proceedings 2006, 2007, pp 575-580 from Springer

Abstract: Abstract We consider Markov-modulated risk reserves which can be invested into a stock index following a geometric Brownian motion. Within a special class of investment policies we identify one which maximizes the adjustment coefficient. A comparison to the compound Poisson case is also given.

Keywords: Poisson Model; Investment Strategy; Optimal Investment; Stock Index; Geometric Brownian Motion (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:spr:oprchp:978-3-540-69995-8_91

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DOI: 10.1007/978-3-540-69995-8_91

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