Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process-Reference-Cited by-同舟云学术

Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process

Published:2017-01-02 Issue:1 Volume:21 Page:36-62
ISSN:1092-0277
Container-title:North American Actuarial Journal
language:en
Short-container-title:North American Actuarial Journal

Author:

Belkina Tatiana¹²,Luo Shangzhen³

Affiliation:

1. Laboratory of Stochastic Optimization and Risk Theory, Central Economics and Mathematics Institute of the Russian Academy of Sciences, Moscow, Russia

2. International Laboratory of Quantitative Finance, National Research University Higher School of Economics, Moscow, Russia

3. Department of Mathematics, University of Northern Iowa, Cedar Falls, Iowa

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/10920277.2016.1246252

Reference31 articles.

1. Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints

2. Optimal constrained investment in the Cramer-Lundberg model

3. Risk theory for the compound Poisson process that is perturbed by diffusion

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2. Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process;Communications in Statistics - Theory and Methods;2019-09-30

3. A Note on the Convexity of Ruin Probabilities;SSRN Electronic Journal;2017