Uncertain Investment Models for an Insurer with Ruin Constraint

Qing-feng Song (qfsong@tju.edu.cn) and Kai Shi (shikai0229@tju.edu.cn)
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Qing-feng Song: Tianjin Institute of Urban Construction
Kai Shi: Tianjin University of Technology

Chapter Chapter 103 in The 19th International Conference on Industrial Engineering and Engineering Management, 2013, pp 977-988 from Springer

Abstract: Abstract This paper focuses on the optimal investment proportion problem of insurance premium for an insurer in uncertain environments. Two uncertain investment models with ruin constraint are investigated, namely, an investment model with ruin constraint and constant per unit time premium (CPRCIM) and an investment model with ruin constraint and variable premium (VPRCIM), where the individual claim amounts are assumed as uncertain variables and the claim numerical processes are characterized as uncertain renewal processes. The equivalent forms of the above investment models are investigated, particularly, the expressions are given for normal distributed uncertain investment interest rate and lognormal distributed uncertain individual claim amount.

Keywords: Investment; Ruin; Insurance; Uncertain variable (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-38433-2_103

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DOI: 10.1007/978-3-642-38433-2_103

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