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

DOI10.1007/S00186-007-0191-8zbMath1175.60069OpenAlexW2051297842MaRDI QIDQ1006559

Patricia Saavedra, Ana Meda, Daniel Hernández-Hernández, Begoña Fernández Fernández

Publication date: 25 March 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-007-0191-8

zbMATH Keywords

diffusionsrisk processoptimal investmentexponential utilityLundberg parameterHamilton-Jacobi-Bellmann equationsruin probalitystochastical control

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Control/observation systems governed by partial differential equations (93C20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites Work

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• Simple approximations of ruin probabilities
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Asymptotics of ruin probabilities for controlled risk processes in the small claims case
• Betting Systems Which Minimize the Probability of Ruin
• Optimal investment for insurers

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