Optimal investment of a time-dependent renewal risk model with stochastic return
Consider an insurance company which is allowed to invest into a riskless and a risky asset under a constant mix strategy. The total claim amount is modeled by a non-standard renewal risk model with dependence between the claim size and the inter-arrival time introduced by a Farlie-Gumbel-Morgenstern...
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| Veröffentlicht in: | Journal of inequalities and applications 2015-06, Vol.2015 (1), p.1-12, Article 181 |
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| container_title | Journal of inequalities and applications |
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| creator | Zhang, Jiesong Xiao, Qingxian |
| description | Consider an insurance company which is allowed to invest into a riskless and a risky asset under a constant mix strategy. The total claim amount is modeled by a non-standard renewal risk model with dependence between the claim size and the inter-arrival time introduced by a Farlie-Gumbel-Morgenstern copula. The price of the risky asset is described by an exponential Lévy process. Based on some known results, the uniform asymptotic estimate for ruin probability with investment strategy is obtained with regularly varying tailed claims. Applying the asymptotic formula, we provide an approximation of the optimal investment strategy to maximize the expected terminal wealth subject to a risk constraint on the Value-at-Risk, which is defined with respect to finite-time discounted net loss. A numerical example is illustrated for the results, which demonstrates that big dependence parameter is advantageous for the insurer. We explain the reason by some inequalities. |
| doi_str_mv | 10.1186/s13660-015-0707-3 |
| format | Article |
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Xiao, Qingxian</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c392t-8026638652811dd29cdf05a5490039dfe0628e51e1581139f3fdb3bb56fec8593</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2015</creationdate><topic>Analysis</topic><topic>Applications of Mathematics</topic><topic>Approximation</topic><topic>Asymptotic properties</topic><topic>Inequalities</topic><topic>Investment strategy</topic><topic>Mathematical models</topic><topic>Mathematics</topic><topic>Mathematics and Statistics</topic><topic>Optimization</topic><topic>Risk</topic><topic>Terminals</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Zhang, Jiesong</creatorcontrib><creatorcontrib>Xiao, Qingxian</creatorcontrib><collection>Springer Nature OA Free Journals</collection><collection>CrossRef</collection><collection>Mechanical & Transportation Engineering Abstracts</collection><collection>Technology Research Database</collection><collection>ProQuest SciTech Collection</collection><collection>ProQuest Technology Collection</collection><collection>Materials Science & Engineering Collection</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>Advanced Technologies & Aerospace Collection</collection><collection>ProQuest Central Essentials</collection><collection>ProQuest Central</collection><collection>Technology Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>Engineering Research Database</collection><collection>ProQuest Central Student</collection><collection>SciTech Premium Collection</collection><collection>ProQuest Computer Science Collection</collection><collection>Computer Science Database</collection><collection>Civil Engineering Abstracts</collection><collection>ProQuest Engineering Collection</collection><collection>Engineering Database</collection><collection>Advanced Technologies & Aerospace Database</collection><collection>ProQuest Advanced Technologies & Aerospace Collection</collection><collection>Access via ProQuest (Open Access)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central China</collection><collection>Engineering Collection</collection><jtitle>Journal of inequalities and applications</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Zhang, Jiesong</au><au>Xiao, Qingxian</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Optimal investment of a time-dependent renewal risk model with stochastic return</atitle><jtitle>Journal of inequalities and applications</jtitle><stitle>J Inequal Appl</stitle><date>2015-06-06</date><risdate>2015</risdate><volume>2015</volume><issue>1</issue><spage>1</spage><epage>12</epage><pages>1-12</pages><artnum>181</artnum><issn>1029-242X</issn><issn>1025-5834</issn><eissn>1029-242X</eissn><abstract>Consider an insurance company which is allowed to invest into a riskless and a risky asset under a constant mix strategy. 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| language | eng |
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| source | DOAJ Directory of Open Access Journals; SpringerNature Journals; Springer Nature OA Free Journals; EZB-FREE-00999 freely available EZB journals |
| subjects | Analysis Applications of Mathematics Approximation Asymptotic properties Inequalities Investment strategy Mathematical models Mathematics Mathematics and Statistics Optimization Risk Terminals |
| title | Optimal investment of a time-dependent renewal risk model with stochastic return |
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