Title of article :
The periodic risk model with investment
Author/Authors :
Vijayendran and Kِtter، نويسنده , , Mirko and Bنuerle، نويسنده , , Nicole، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
Abstract :
We consider a periodic risk model with the possibility of investing into a risky asset, given by a geometrical Brownian motion. The aim is to maximize the adjustment coefficient of the risk process. It is shown that the optimal investment strategy only depends on the averaged data of the model and is constant over time. Thus maximizing the adjustment coefficient is a very weak optimization criterion.
Keywords :
Adjustment Coefficient , Ruin probability , periodic environment , Optimal investment
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics