On optimal investment and subexponential claims

DOI10.1016/j.insmatheco.2004.09.002zbMath1110.91019OpenAlexW2032113189MaRDI QIDQ2483945

Hanspeter Schmidli

Publication date: 1 August 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.09.002

zbMATH Keywords

Hamilton-Jacobi-Bellman equationOptimal controlGeometric Brownian motionRuin probabilityRegular variation

Mathematics Subject Classification ID

Related Items (12)

Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model ⋮ Ruin probability in a risk model with variable premium intensity and risky investments ⋮ Asymptotic and numerical analysis of the optimal investment strategy for an insurer ⋮ Asymptotic optimal investment under interest rate for a class of subexponential distributions ⋮ The Theory of Optimal Stochastic Control as Applied to Insurance Underwriting Cycles ⋮ Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process ⋮ Ruin probability in the presence of interest earnings and tax payments ⋮ Optimal investment-reinsurance policy for an insurance company with VaR constraint ⋮ Ruin probabilities under general investments and heavy-tailed claims ⋮ Minimal ruin probabilities and investment under interest force for a class of subexponential distributions ⋮ Optimal expected exponential utility of dividend payments in a Brownian risk model ⋮ Optimal investment for insurer with jump-diffusion risk process

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• Optimal investment for insurers

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