Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift

North American Actuarial Journal

Volumn 9, Issue 3, 2005, Pages 110-128

  David Promislow, S ^a   Young, Virginia R ^b  

^a YORK UNIVERSITY   (Canada)

^b UNIVERSITY OF MICHIGAN   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33751309495     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2005.10596214     Document Type: Article

References (14)

1. ACZÉL, JÁNOS. 1966. Lectures on Functional Equations and Their Applications. New York: Academic Press.
2. ARNOLD, LUDWIG. 1964. Stochastic Differential Equations: Theory and Applications. New York: John Wiley and Sons.
3. BOWERS, NEWTON L., HANS U. GERBER, JAMES C. HICKMAN, DONALD A. JONES, and CECIL J. NESBITT. 1997. Actuarial Mathematics. 2nd ed. Schaumburg, Ill.: Society of Actuaries.
4. BROWNE, SID. 1995. Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimization of the Probability of Ruin. Mathematics of Operations Research 20: 937-58.
5. GERBER, HANS U. 1975. The Surplus Process as a Fair Game—Utilitywise. ASTIN Bulletin 8(3): 307-22.
6. GRANDELL, JAN. 1991. Aspects of Risk Theory. New York: Springer.
7. HIPP, CHRISTIAN, and MICHAEL PLUM. 2000. Optimal Investment for Insurers. Insurance: Mathematics and Economics 27: 215-28.
8. HIPP, CHRISTIAN, and MICHAEL TAKSAR. 2000. Stochastic Control for Optimal New Business. Insurance: Mathematics and Economics 26: 185-92.
9. KARATZAS, IOANNIS, and STEVEN E. SHREVE. 1991. Brownian Motion and Stochastic Calculus. 2nd ed. Graduate Texts in Mathematics, vol. 113. New York: Springer.
10. KLUGMAN, STUART A., HARRY H. PANJER, and GORDON E. WILLMOT. 1998. Loss Models: From Data to Decisions. New York: John Wiley and Sons.
11. LIU, CHI SANG, and HAILIANG YANG. 2004. Optimal Investment for an Insurer to Minimize its Probability of Ruin. North American Actuarial Journal 8(2): 11-31.
12. PESTIEN, VICTOR C., and WILLIAM D. SUDDERTH. 1985. Continuous-Time Red and Black: How to Control a Diffusion to a Goal. Mathematics of Operations Research 10(4): 599-611.
13. SCHMIDLI, HANSPETER. 2001. Optimal Proportional Reinsurance Policies in a Dynamic Setting. Scandinavian Actuarial Journal (1): 55-68.
14. SCHMIDLI, HANSPETER. 2002. On Minimizing the Ruin Probability by Investment and Reinsurance. Annals of Applied Probability 12: 890-907.