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)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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