Sub-optimal investment for insurers-Reference-Cited by-同舟云学术

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Sub-optimal investment for insurers

Published:2019-04-23 Issue:17 Volume:49 Page:4298-4312
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Longo Michele¹,Stabile Gabriele²

Affiliation:

1. Dipartimento di discipline matematiche, finanza matematica ed econometria, Università Cattolica del Sacro Cuore, Milano, Italy;

2. Dipartimento di Metodi e Modelli per l’Economia, il Territorio e la Finanza, Sapienza-Università di Roma, Roma, Italy

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2019.1599020

Reference17 articles.

1. Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

2. Risk theory for the compound Poisson process that is perturbed by diffusion

3. In the insurance business risky investments are dangerous

4. Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion

5. Asymptotic ruin probabilities and optimal investment

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