On minimizing the ruin probability by investment and reinsurance
成果类型：
Article
署名作者：
Schmidli, H
署名单位：
University of Copenhagen
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
发表日期：
2002
页码：
890-907
关键词：
摘要：
We consider a classical risk model and allow investment into a risky asset modelled as a Black-Scholes model as well as (proportional) reinsurance. Via the Hamilton-Jacobi-Bellman approach we find a candidate for the optimal strategy and develop a numerical procedure to solve the HJB equation. We prove a verification theorem in order to show that any increasing solution to the HJB equation is bounded and solves the optimisation problem. We prove that an increasing solution to the HJB equation exists. Finally two numerical examples are discussed.