Minimal Expected Time in Drawdown through Investment for an Insurance Diffusion Model
Consider an insurance company whose surplus is modelled by an arithmetic Brownian motion of not necessarily positive drift. Additionally, the insurer has the possibility to invest in a stock modelled by a geometric Brownian motion independent of the surplus. Our key variable is the (absolute) drawdo...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-01-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/9/1/17 |