An optimal investment strategy with maximal risk aversion and its ruin probability
In this paper we study an optimal investment problem of an insurer when the company has the opportunity to invest in a risky asset using stochastic control techniques. A closed form solution is given when the risk preferences are exponential as well as an estimate of the ruin probability when the op...
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| Formato: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2008 |
| País: | México |
| Recursos: | Centro de Investigación en Matemáticas |
| Repositorio: | Repositorio Institucional CIMAT |
| Idioma: | inglés |
| OAI Identifier: | oai:cimat.repositorioinstitucional.mx:1008/942 |
| Acesso em linha: | http://cimat.repositorioinstitucional.mx/jspui/handle/1008/942 |
| Access Level: | acceso abierto |
| Palavra-chave: | info:eu-repo/classification/MSC/Teoría del Riesgo info:eu-repo/classification/cti/1 info:eu-repo/classification/cti/12 info:eu-repo/classification/cti/1208 info:eu-repo/classification/cti/110403 |
| Resumo: | In this paper we study an optimal investment problem of an insurer when the company has the opportunity to invest in a risky asset using stochastic control techniques. A closed form solution is given when the risk preferences are exponential as well as an estimate of the ruin probability when the optimal strategy is used. |
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