Workshop: Optimization and Optimal Control
Time: Tue, October 21, 2008, 15:00-15:50
Speaker: Manfred Schäl
Abstract
The control of ruin probabilities by investments in a financial market is studied. The insurance business and the risk driver of the financial market are described by a joint jump model. An investment plan is non-dangerous if the ruin probability has exponential decay under the plan, i.e., there exists an adjustment coefficient. It is known that a plan investing a fixed fraction of capitel leads to a polynomial decay and thus is dangerous. An investment plan is profitable if its adjustment coefficient is larger than the classical Lundberg exponent defined for the uncontrolled case. It is known that there exist profitable plans investing a fixed amount of capital in the stock independently of the current level of capital. But they are not admissible when the insurance company is poor. Here we investigate the existence of non-dangerous and profitable investement plans which are admissible as well.
Presentation slides (pdf, 8.7 MB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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