• Title of article

    The periodic risk model with investment

  • Author/Authors

    Vijayendran and Kِtter، نويسنده , , Mirko and Bنuerle، نويسنده , , Nicole، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2008
  • Pages
    6
  • From page
    962
  • To page
    967
  • Abstract
    We consider a periodic risk model with the possibility of investing into a risky asset, given by a geometrical Brownian motion. The aim is to maximize the adjustment coefficient of the risk process. It is shown that the optimal investment strategy only depends on the averaged data of the model and is constant over time. Thus maximizing the adjustment coefficient is a very weak optimization criterion.
  • Keywords
    Adjustment Coefficient , Ruin probability , periodic environment , Optimal investment
  • Journal title
    Insurance Mathematics and Economics
  • Serial Year
    2008
  • Journal title
    Insurance Mathematics and Economics
  • Record number

    1543539