Article ID Journal Published Year Pages File Type
5077165 Insurance: Mathematics and Economics 2008 6 Pages PDF
Abstract

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.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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