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An optimal investment strategy with maximal risk aversion and its ruin probability |
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| Authors: | Begoña Fernández Daniel Hernández-Hernández Ana Meda Patricia Saavedra |
| Affiliation: | (1) Facultad de Ciencias, Universidad Nacional Autónoma de México (UNAM), Coyoacan, 04510, Mexico;(2) Centro de Investigación en Matemáticas, Apartado Postal 402, Guanajuato, 36000, Mexico;(3) Departamento de Matemáticas, Universidad Autónoma Metropolitana, Unidad Iztapalapa, Apartado Postal 55-534, Mexico D.F., 09340, Mexico |
| Abstract: | In this paper we study an optimal investment problem of an insurer when the company has the opportunity to invest in a risky asset using stochastic control techniques. A closed form solution is given when the risk preferences are exponential as well as an estimate of the ruin probability when the optimal strategy is used. This work was partially supported by Grants IN103606 PAPIIT-UNAM, 37922E-CONACyT, and 61423-CONACYT Mexico. |
| Keywords: | Risk process Ruin probability Stochastic control Diffusions Optimal investment Exponential utility Lundberg parameter Hamilton– Jacobi– Bellman equations |
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