کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077165 1374120 2008 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The periodic risk model with investment
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
The periodic risk model with investment
چکیده انگلیسی

We consider a periodic risk model with the possibility of investing into a risky asset, given by a geometrical Brownian motion. The aim is to maximize the adjustment coefficient of the risk process. It is shown that the optimal investment strategy only depends on the averaged data of the model and is constant over time. Thus maximizing the adjustment coefficient is a very weak optimization criterion.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 3, June 2008, Pages 962-967
نویسندگان
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