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On the distribution tail of an integrated risk model: A numerical approach

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  • Brokate, M.
  • Klüppelberg, C.
  • Kostadinova, R.
  • Maller, R.
  • Seydel, R.C.
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    Abstract

    We consider an insurance risk process with the possibility to invest the capital reserve into a portfolio consisting of a risky asset and a riskless asset. The stock price is modelled by an exponential Lévy process and the riskless interest rate is assumed to be constant. We aim at the risk assessment of the integrated risk process in terms of a high quantile or the far out distribution tail. We indicate an application to an optimal investment strategy of an insurer.

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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 42 (2008)
    Issue (Month): 1 (February)
    Pages: 101-106

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    Handle: RePEc:eee:insuma:v:42:y:2008:i:1:p:101-106

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Susanne Emmer & Claudia Klüppelberg, 2004. "Optimal portfolios when stock prices follow an exponential Lévy process," Finance and Stochastics, Springer, Springer, vol. 8(1), pages 17-44, January.
    2. Suleyman Basak & Alex Shapiro, . "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 06-99, Wharton School Rodney L. White Center for Financial Research.
    3. Anna Frolova & Serguei Pergamenshchikov & Yuri Kabanov, 2002. "In the insurance business risky investments are dangerous," Finance and Stochastics, Springer, Springer, vol. 6(2), pages 227-235.
    4. Susanne Emmer & Claudia Klüppelberg & Ralf Korn, 2001. "Optimal Portfolios with Bounded Capital at Risk," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 11(4), pages 365-384.
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