IDEAS home Printed from https://ideas.repec.org/a/taf/sactxx/v2005y2005i6p401-416.html
   My bibliography  Save this article

Minimal ruin probabilities and investment under interest force for a class of subexponential distributions

Author

Listed:
  • Peter Grandits

Abstract

We consider the infinite-time ruin probability of an insurance company investing in the stock market. This is done under the following assumptions: For the claim surplus process we use the classical Cramér-Lundberg model, where the claims have a distribution function, belonging to certain subclasses of the class of subexponential distributions. The stock price movement is modeled by geometric Brownian motion, and we allow positive interest rates for the riskless bond. In this setting we analyze the Hamilton-Jacobi-Bellman equation for the minimal ruin probability. We give asymptotic expressions for the minimal ruin probability, as well as for the optimal investment strategy. It turns out that the asymptotic order of the minimal ruin probability is different from the previous considered case of zero interest on the bond.

Suggested Citation

  • Peter Grandits, 2005. "Minimal ruin probabilities and investment under interest force for a class of subexponential distributions," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2005(6), pages 401-416.
    • Handle: RePEc:taf:sactxx:v:2005:y:2005:i:6:p:401-416
    DOI: 10.1080/03461230500215479
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03461230500215479
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03461230500215479?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:sactxx:v:2005:y:2005:i:6:p:401-416. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/sact .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.