Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis

DOI10.2143/AST.38.2.2033348zbMath1256.91030MaRDI QIDQ3634586

Ralf Korn, Anke Wiese

Publication date: 25 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items

Sub-optimal investment for insurers ⋮ Optimal reinsurance design under solvency constraints ⋮ A benchmarking approach to optimal asset allocation for insurers and pension funds ⋮ A dynamic programming approach to constrained portfolios

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Asymptotic ruin probabilities and optimal investment
• Optimal investment for investors with state dependent income, and for insurers
• On Cramér-like asymptotics for risk processes with stochastic return on investments
• Optimal portfolios when stock prices follow an exponential Lévy process
• Ruin probabilities for a~risk process with stochastic return on investments.
• Optimal Portfolios with Bounded Capital at Risk
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

This page was built for publication: Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis