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Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: Controlled Risk Processes and Large Claims

Workshop: Optimization and Optimal Control

Time: Tue, October 21, 2008, 10:50-11:40

Speaker: Hanspeter Schmidli

Abstract

We consider a classical risk model where reinsurance and/or investment is possible. The goal is to minimise the probability of ruin. The problem is solved by a Hamilton-Jacobi-Bellman approach. The aim of this talk is to consider the asymptotics of the ruin probability and of the optimal strategy in the case where the claim size distribution is heavy-tailed.

Presentation slides (pdf, 1.5 MB)

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