3 papers
q-fin.PM2015
Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
Tatiana Belkina, Shangzhen Luo
We study an optimal investment control problem for an insurance company. The surplus process follows the Cramer-Lundberg process with perturbation of a Brownian motion. The company…
q-fin.PM2011
Optimal Constrained Investment in the Cramer-Lundberg model
Tatiana Belkina, Christian Hipp, Shangzhen Luo +1
We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk free asset and in a risky asset…
math.OC2011
Minimal Cost of a Brownian Risk without Ruin
Shangzhen Luo, Michael Taksar
In this paper, we study a risk process modeled by a Brownian motion with drift (the diffusion approximation model). The insurance entity can purchase reinsurance to lower its risk…