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December 2012 Ruin probabilities in a finite-horizon risk model with investmentand reinsurance
R. Romera, W. Runggaldier
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J. Appl. Probab. 49(4): 954-966 (December 2012). DOI: 10.1239/jap/1354716650

Abstract

A finite-horizon insurance model is studied where the risk/reserveprocess can be controlled by reinsurance and investment in thefinancial market. Our setting is innovative in the sense that wedescribe in a unified way the timing of the events, that is, thearrivals of claims and the changes of the prices in the financialmarket, by means of a continuous-time semi-Markov process which appearsto be more realistic than, say, classical diffusion-based models.Obtaining explicit optimal solutions for the minimizing ruinprobability is a difficult task. Therefore we derive a specificmethodology, based on recursive relations for the ruin probability, toobtain a reinsurance and investment policy that minimizes anexponential bound (Lundberg-type bound) on the ruin probability.

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R. Romera. W. Runggaldier. "Ruin probabilities in a finite-horizon risk model with investmentand reinsurance." J. Appl. Probab. 49 (4) 954 - 966, December 2012. https://doi.org/10.1239/jap/1354716650

Information

Published: December 2012
First available in Project Euclid: 5 December 2012

zbMATH: 1255.91185
MathSciNet: MR3058981
Digital Object Identifier: 10.1239/jap/1354716650

Subjects:
Primary: 60J28, 91B30, 93E20

Rights: Copyright © 2012 Applied Probability Trust

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Vol.49 • No. 4 • December 2012
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