Journal of Applied Probability
- J. Appl. Probab.
- Volume 49, Number 4 (2012), 954-966.
Ruin probabilities in a finite-horizon risk model with investment and reinsurance
A finite-horizon insurance model is studied where the risk/reserve process can be controlled by reinsurance and investment in the financial market. Our setting is innovative in the sense that we describe in a unified way the timing of the events, that is, the arrivals of claims and the changes of the prices in the financial market, by means of a continuous-time semi-Markov process which appears to be more realistic than, say, classical diffusion-based models. Obtaining explicit optimal solutions for the minimizing ruin probability is a difficult task. Therefore we derive a specific methodology, based on recursive relations for the ruin probability, to obtain a reinsurance and investment policy that minimizes an exponential bound (Lundberg-type bound) on the ruin probability.
J. Appl. Probab., Volume 49, Number 4 (2012), 954-966.
First available in Project Euclid: 5 December 2012
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Romera, R.; Runggaldier, W. Ruin probabilities in a finite-horizon risk model with investment and reinsurance. J. Appl. Probab. 49 (2012), no. 4, 954--966. doi:10.1239/jap/1354716650. https://projecteuclid.org/euclid.jap/1354716650