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An optimal investment strategy with maximal risk aversion and its ruin probability.

Authors :
Fernández, Begoña
Hernández-Hernández, Daniel
Meda, Ana
Saavedra, Patricia
Source :
Mathematical Methods of Operations Research; 2008, Vol. 68 Issue 1, p159-179, 21p, 1 Chart, 2 Graphs
Publication Year :
2008

Abstract

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. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
14322994
Volume :
68
Issue :
1
Database :
Complementary Index
Journal :
Mathematical Methods of Operations Research
Publication Type :
Academic Journal
Accession number :
33515894
Full Text :
https://doi.org/10.1007/s00186-007-0191-8