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Sub-optimal investment for insurers
- Source :
- Communications in Statistics - Theory and Methods. 49:4298-4312
- Publication Year :
- 2019
- Publisher :
- Informa UK Limited, 2019.
-
Abstract
- We consider the investment problem for a non-life insurance company seeking to minimize the ruin probability. Its reserve is described by a perturbed risk process possibly correlated with the finan...
- Subjects :
- Statistics and Probability
021103 operations research
Actuarial science
Ruin probability
0211 other engineering and technologies
02 engineering and technology
Investment (macroeconomics)
Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE
01 natural sciences
010104 statistics & probability
Risk process
Insurance risk process
Investment
Sub-optimal strategies
0101 mathematics
Mathematics
Subjects
Details
- ISSN :
- 1532415X and 03610926
- Volume :
- 49
- Database :
- OpenAIRE
- Journal :
- Communications in Statistics - Theory and Methods
- Accession number :
- edsair.doi.dedup.....5ccd6ecd75e6a09521fe42cda70942dd