RUIN PROBABILITY IN THE CONTINUOUS-TIME COMPOUND BINOMIAL MODEL WITH INVESTMENT

被引：0

作者：

张帅琪 ^{[1
,2
]}

刘国欣 ^{[3
]}

孙梅慈 ^{[4
]}

机构：

[1] School of Economics and Commerce,Guangdong University of Technology

[2] School of Science,Hebei University of Technology

[3] Department of Mathematics,Shijiazhuang Tiedao University

[4] Department of Mathematics,Shijiazhuang Mechanical Engineering College

来源：

Acta Mathematica Scientia | 2015年 / 02期

关键词：

The continuous-time compound binomial model; investment; ruin probability; Lundberg bounds;

D O I：

暂无

中图分类号：

F224 [经济数学方法]; F272 [企业计划与经营决策];

学科分类号：

0701 ; 070104 ; 1201 ;

摘要：

This article deals with the problem of minimizing ruin probability under optimal control for the continuous-time compound binomial model with investment.The jump mechanism in our article is different from that of Liu et al[4].Comparing with[4],the introduction of the investment,and hence,the additional Brownian motion term,makes the problem technically challenging.To overcome this technical difficulty,the theory of change of measure is used and an exponential martingale is obtained by virtue of the extended generator.The ruin probability is minimized through maximizing adjustment coefficient in the sense of Lundberg bounds.At the same time,the optimal investment strategy is obtained.

引用

页码：313 / 325

页数：13

共 4 条

[1] Ruin probability in the continuous-time compound binomial model [J].

Liu, GX ;

Wang, Y ;

Zhang, B .

INSURANCE MATHEMATICS & ECONOMICS, 2005, 36 (03) :303-316

[2]

Discounted probabilities and ruin theory in the compound binomial model[J] . Shixue Cheng,Hans U. Gerber,Elias S.W. Shiu. Insurance Mathematics and Economics . 2000 (2)

[3]

Some Comments on the Compound Binomial Model[J] . David C.M. Dickson. ASTIN Bulletin . 1994 (1)

[4]

Mathematical Fun with the Compound Binomial Process[J] . Hans U. Gerber. ASTIN Bulletin . 1988 (2)

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