Control of ruin probabilities by discrete-time investments

The control problem of controlling ruin probabilities by investments in a financial market is studied. The insurance business is described by the usual Cramer-Lundberg-type model and the risk driver of the financial market is a compound Poisson process. Conditions for investments to be profitable are derived by means of discrete-time dynamic programming. Moreover Lundberg bounds are established for the controlled model. Copyright Springer-Verlag Berlin Heidelberg 2005