Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103610
Authors: 
Bäuerle, Nicole
Rieder, Ulrich
Year of Publication: 
2013
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Publisher:] MDPI [Place:] Basel [Volume:] 1 [Year:] 2013 [Issue:] 3 [Pages:] 101-118
Abstract: 
We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to invest the money into a Black-Scholes financial market. As optimization criteria, we treat mean-variance problems, problems with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that investment strategies have to be deterministic. This leads to deterministic control problems, which are quite easy to solve. Moreover, it turns out that there are some interesting links between the optimal investment strategies of these problems. Finally, we also show that this approach works in the L'evy process framework.
Subjects: 
deterministic control problem
mean-variance
risk measure
L&#x00b4
evy process
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Article
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