We consider an insurance company whose reserve is described by a perturbed compound Poisson risk process. The company may invest part of the reserve in a financial market index. We allow the financial risk and the insurance risk to be dependent. We study how the introduction of dependence between these two risks affects the minimization of the ruin probability as well as the optimal investment strategy. Moreover, we provide an upper bound for the ruin probability.
Longo, M., Stabile, G., Ruin probabilities and optimal investment: The case of dependence between financial and insurance risks, in Rapporti Scientifici AMASES, (Palermo, 12-15 September 2005), CUEN, Roma 2006: 1-14 [http://hdl.handle.net/10807/148497]
Ruin probabilities and optimal investment: The case of dependence between financial and insurance risks
Longo, Michele
;
2006
Abstract
We consider an insurance company whose reserve is described by a perturbed compound Poisson risk process. The company may invest part of the reserve in a financial market index. We allow the financial risk and the insurance risk to be dependent. We study how the introduction of dependence between these two risks affects the minimization of the ruin probability as well as the optimal investment strategy. Moreover, we provide an upper bound for the ruin probability.
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