Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift
Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift
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DOI：
10.1080/10920277.2005.10596214
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发表时间：
2005-07
影响因子：
1.4
通讯作者：
David Promislow;V. Young
中科院分区：
文献类型：
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作者：
David Promislow;V. Young
我们扩展了Browne（1995）和Schmidli（2001）的工作，其中他们最小化了保险公司面临由带有漂移的布朗运动建模的索赔过程的破产概率。我们考虑两种控制来最小化破产的概率：(1)投资风险资产和(2)购买配额份额再保险。得到了最小破产概率的解析表达式和相应的最优控制，并通过数值算例对结果进行了验证。
Abstract We extend the work of Browne (1995) and Schmidli (2001), in which they minimize the probability of ruin of an insurer facing a claim process modeled by a Brownian motion with drift. We consider two controls to minimize the probability of ruin: (1) investing in a risky asset and (2) purchasing quota-share reinsurance. We obtain an analytic expression for the minimum probability of ruin and the corresponding optimal controls, and we demonstrate our results with numerical examples.