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 optimal strategy is used. Copyright Springer-Verlag 2008

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Year of publication:	2008
Authors:	Fernández, Begoña ; Hernández-Hernández, Daniel ; Meda, Ana ; Saavedra, Patricia
Published in:	Mathematical Methods of Operations Research. - Springer. - Vol. 68.2008, 1, p. 159-179
Publisher:	Springer
Subject:	Risk process \| Ruin probability \| Stochastic control \| Diffusions \| Optimal investment \| Exponential utility \| Lundberg parameter \| Hamilton–Jacobi–Bellman equations \| Primary 60H30 \| Secondary 60G44

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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