The periodic risk model with investment |
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| Authors: | Mirko K tter,Nicole B uerle |
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| Affiliation: | aHannoversche Lebensversicherung AG, D-30622 Hannover, Germany;bInstitute for Stochastics, University of Karlsruhe (TH), D-76128 Karlsruhe, Germany |
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| Abstract: | We consider a periodic risk model with the possibility of investing into a risky asset, given by a geometrical Brownian motion. The aim is to maximize the adjustment coefficient of the risk process. It is shown that the optimal investment strategy only depends on the averaged data of the model and is constant over time. Thus maximizing the adjustment coefficient is a very weak optimization criterion. |
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| Keywords: | Ruin probability Adjustment coefficient Optimal investment Periodic environment |
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