Add to ORKGIn this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusion risk process. The insurance company can invest part of its surplus in $n$ risky assets and purchase proportional reinsurance for claims. Our main goal is to find an optimal investment and proportional reinsurance policy which minimizes the ruin probability. We apply stochastic control theory to solve this problem. We obtain the close form expression for the minimal ruin probability, optimal investment and proportional reinsurance policy. We find that the minimal ruin probability satisfies the Lundberg equality. We also investigate the effects of the diffusion volatility parameter, the market price of risk and the correlation coefficient on...
We consider a discrete risk process modelled by a Markov Decision Process. The surplus could be inve...
In this paper, we study optimal investment policies of an insurer with jump-diffusion risk process. ...
We consider a discrete risk process modelled by a Markov Decision Process. The surplus could be inve...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
We study the optimal proportional reinsurance and investment problem in a general jump-diffusion fin...
This paper deals with the problem of ruin probability minimization under various investment control ...
We consider an insurance company whose surplus is governed by a jump diffusion risk process. The ins...
We consider an insurance company whose surplus is governed by a jump diffusion risk process. The ins...
We consider a problem of optimal reinsurance and investment for an insurance company whose surplus i...
In this paper, we work with a diffusion-perturbed risk model comprising a surplus generating process...
We consider a large insurance company whose surplus (reserve) is modeled by a Brownian motion. The c...
This article pertains to the optimal asset allocation of surplus from an insurance company model. Th...
We consider a discrete risk process modelled by a Markov Decision Process. The surplus could be inve...
In this paper, we study optimal investment policies of an insurer with jump-diffusion risk process. ...
We consider a discrete risk process modelled by a Markov Decision Process. The surplus could be inve...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
In this paper, we consider an insurance company whose surplus (reserve) is modeled by a jump diffusi...
We study the optimal proportional reinsurance and investment problem in a general jump-diffusion fin...
This paper deals with the problem of ruin probability minimization under various investment control ...
We consider an insurance company whose surplus is governed by a jump diffusion risk process. The ins...
We consider an insurance company whose surplus is governed by a jump diffusion risk process. The ins...
We consider a problem of optimal reinsurance and investment for an insurance company whose surplus i...
In this paper, we work with a diffusion-perturbed risk model comprising a surplus generating process...
We consider a large insurance company whose surplus (reserve) is modeled by a Brownian motion. The c...
This article pertains to the optimal asset allocation of surplus from an insurance company model. Th...
We consider a discrete risk process modelled by a Markov Decision Process. The surplus could be inve...
In this paper, we study optimal investment policies of an insurer with jump-diffusion risk process. ...
We consider a discrete risk process modelled by a Markov Decision Process. The surplus could be inve...