Catalogo dei prodotti della ricerca
IRIS è la soluzione IT che facilita la raccolta e la gestione dei dati relativi alle attività e ai prodotti della ricerca. Fornisce a ricercatori, amministratori e valutatori gli strumenti per monitorare i risultati della ricerca, aumentarne la visibilità e allocare in modo efficace le risorse disponibili.
EnglishWe consider the investment problem for a non-life insurance company seeking to minimize the ruin probability. Its reserve is described by a perturbed risk process possibly correlated with the financial market. Assuming exponential claim size, the Hamilton-Jacobi-Bellman equation reduces to a first order nonlinear ordinary differential equation, which seems hard to solve explicitly. We study the qualitative behavior of its solution and determine the Cramér-Lundberg approximation. Moreover, our approach enables to find very naturally that the optimal investment strategy is not constant. Then, we analyze how much the company looses by adopting sub-optimal constant (amount) investment strategies.
Sub-optimal investment for insurers / Longo, Michele; Stabile, Gabriele. - In: COMMUNICATIONS IN STATISTICS. THEORY AND METHODS. - ISSN 0361-0926. - 49:17(2020), pp. 4298-4312.
| Titolo: | Sub-optimal investment for insurers | |
| Data di pubblicazione: | 2020 | |
| Autori: | ||
| Stringa autori: | Longo, Michele; Stabile, Gabriele | |
| Numero degli autori: | 2 | |
| Nazionalità autore: | ITALIA | |
| Lingua: | Inglese | |
| Rivista: | COMMUNICATIONS IN STATISTICS. THEORY AND METHODS | |
| Revisione (peer review): | Esperti anonimi | |
| Volume: | 49 | |
| Fascicolo: | 17 | |
| Pagina iniziale: | 4298 | |
| Pagina finale: | 4312 | |
| Numero di pagine: | 15 | |
| Editore: | Taylor & Francis | |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1080/03610926.2019.1599020 | |
| Codice identificativo Scopus: | 2-s2.0-85064761241 | |
| Codice identificativo ISI: | WOS:000471554300001 | |
| Abstract: | We consider the investment problem for a non-life insurance company seeking to minimize the ruin probability. Its reserve is described by a perturbed risk process possibly correlated with the financial market. Assuming exponential claim size, the Hamilton-Jacobi-Bellman equation reduces to a first order nonlinear ordinary differential equation, which seems hard to solve explicitly. We study the qualitative behavior of its solution and determine the Cramér-Lundberg approximation. Moreover, our approach enables to find very naturally that the optimal investment strategy is not constant. Then, we analyze how much the company looses by adopting sub-optimal constant (amount) investment strategies. | |
| Parole Chiave: | insurance risk process; ruin probability; investment; sub-optimal strategies | |
| Appartiene alla tipologia: | 01a Articolo in rivista |
File allegati a questo prodotto
| File | Note | Tipologia | Licenza | |
|---|---|---|---|---|
| Stabile_Sub-optimal-investment_2020.pdf | Versione editoriale (versione pubblicata con il layout dell'editore) | Tutti i diritti riservati (All rights reserved) | Administrator Richiedi una copia |
http://hdl.handle.net/11573/1261783
Copyright © 2022