Open AccessThe Optimal Environment Selection Strategy of Risk Model With Perturbed Diffusion
Author(s) -
Sheng Guo,
Lili Zhang,
Guo Jie,
Xinna Li,
Jie Yang
Publication year - 2020
Publication title -
iop conference series. materials science and engineering
Language(s) - English
Resource type - Journals
eISSN - 1757-899X
pISSN - 1757-8981
DOI - 10.1088/1757-899x/914/1/012031
Subject(s) - uniqueness , portfolio , ruin theory , asset (computer security) , reinsurance , exponential utility , selection (genetic algorithm) , mathematics , mathematical economics , investment (military) , mathematical optimization , upper and lower bounds , risk model , exponential function , investment strategy , distribution (mathematics) , economics , actuarial science , computer science , finance , mathematical analysis , market liquidity , law , artificial intelligence , computer security , politics , political science
In this paper, the authors consider the optimal investment of the risk model with perturbed diffusion. Insurance companies invest the surplus in risky asset and risk-free asset. This paper discusses the problem of minimizing the ruin probability of insurance company. By solving the corresponding Hamilton-Jacobi-Bellman equations, the optimal investment portfolio and the upper bound of Lundberg of the minimal ruin probability are obtained. Especially,when the claim distribution is exponential distribution, asymptotic optimality and asymptotic uniqueness of strategy A * and R are obtained.