MINIMIZING THE PROBABILITY OF RUIN WHEN CLAIMS FOLLOW BROWNIAN MOTION WITH DRIFT

被引：294

作者：

Promislow, S. ^{[1
]}

Young, Virginia ^{[2
]}

机构：

[1] York Univ, Dept Math & Stat, 4700 Keele St, Toronto, ON M3J 1P3, Canada

[2] Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA

来源：

NORTH AMERICAN ACTUARIAL JOURNAL | 2005年 / 9卷 / 03期

关键词：

D O I：

10.1080/10920277.2005.10596214

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We extend the work of Browne (1995) and Schmidli (2001), in which they minimize the probability of ruin of an insurer facing a claim process modeled by a Brownian motion with drift. We consider two controls to minimize the probability of ruin: (1) investing in a risky asset and (2) purchasing quota-share reinsurance. We obtain an analytic expression for the minimum probability of ruin and the corresponding optimal controls, and we demonstrate our results with numerical examples.

引用

页码：109 / 128

页数：20

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