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
Link To Document