Title of article :
On optimal investment and subexponential claims
Author/Authors :
Schmidli، نويسنده , , Hanspeter، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2005
Abstract :
We consider a classical risk model with the possibility of investment. For subexponentially distributed claim sizes we find the asymptotics of the ruin probability under the optimal investment strategy as well as the rate at which A ( x ) tends to infinity.
Keywords :
Regular variation , optimal control , Subexponential claims , Geometric Brownian motion , Ruin probability , Hamilton–Jacobi–Bellman equation
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics