Minimizing an Insurer’s Ultimate Ruin Probability by Reinsurance and Investments
In this paper, we work with a diffusion-perturbed risk model comprising a surplus generating process and an investment return process. The investment return process is of standard a Black⁻Scholes type, that is, it comprises a single risk-free asset that earns interest at a constant rate an...
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| Format: | Article |
| Language: | English |
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MDPI AG
2019-02-01
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| Series: | Mathematical and Computational Applications |
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| Online Access: | https://www.mdpi.com/2297-8747/24/1/21 |