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1 results

  • Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance

  • Part of
  • R. Romera, W. Runggaldier
  • Journal:
    Journal of Applied Probability / Volume 49 / Issue 4 / December 2012
    Published online by Cambridge University Press:
    30 January 2018, pp. 954-966
    Print publication:
    December 2012
    • Article
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  • A finite-horizon insurance model is studied where the risk/reserve process can be controlled by reinsurance and investment in the financial market. Our setting is innovative in the sense that we describe in a unified way the timing of the events, that is, the arrivals of claims and the changes of the prices in the financial market, by means of a continuous-time semi-Markov process which appears to be more realistic than, say, classical diffusion-based models. Obtaining explicit optimal solutions for the minimizing ruin probability is a difficult task. Therefore we derive a specific methodology, based on recursive relations for the ruin probability, to obtain a reinsurance and investment policy that minimizes an exponential bound (Lundberg-type bound) on the ruin probability.