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