Asymptotic investment behaviors under a jump-diffusion risk processстатьяИсследовательская статья
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Дата последнего поиска статьи во внешних источниках: 27 сентября 2019 г.
Аннотация:We study an optimal investment control problem for an insurance company. The surplus process follows the Cramer-Lundberg
process with perturbation of a Brownian motion. The company can invest its surplus into a risk-free asset and a Black-Scholes risky
asset. The optimization objective is to minimize the probability of ruin. We show by new operators that the minimal ruin probability
function is a classical solution to the corresponding HJB equation. Asymptotic behaviors of the optimal investment control policy and
the minimal ruin probability function are studied for low surplus levels with a general claim size distribution. Some new asymptotic
results for large surplus levels in the case with exponential claim distributions are obtained.We consider two cases of investment control:
unconstrained investment and investment with a limited amount.