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- W2749995558 abstract "We consider a stochastic model for the wealth of an insurance company which has the possibility to invest into a risky and a riskless asset under a constant mix strategy. The total insurance claim amount is modeled by a compound Poisson process and the price of the risky asset follows a general exponential Levy process. We investigate the resulting integrated risk process and the corresponding discounted net loss process. This opens up a way to measure the risk of a negative outcome of the integrated risk process in a stationary way. We provide an approximation of the optimal investment strategy, which maximizes the expected wealth under a risk constraint on the Value-at-Risk." @default.
- W2749995558 created "2017-08-31" @default.
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- W2749995558 date "2006-01-01" @default.
- W2749995558 modified "2023-09-27" @default.
- W2749995558 title "Integrated risk management when the stock price follows an exponential Levy process" @default.
- W2749995558 hasPublicationYear "2006" @default.
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