The ruin probability minimization with a linear Gaussian stochastic factor model
Hiroaki HataShizuoka University 上午 10:00–11:50 鴻經館 107 室Abstract
In this talk we consider the ruin probability minimization for insurers. Hipp and Plum (2000) treated this problem with a Black- Scholes model. We extend this work to a linear Gaussian stochastic factor model. In our model, the mean returns and volatilities of the risky asset depend linearly on economic factor that are formulated as the solution of a linear stochastic differential equation. We formulate a stochastic control problem. Moreover, a Hamilton-Jacobi-Bellman (HJB) equation that is derived via a dynamic programming approach has an explicit solution found by solving quadratic equation. Hence, the optimal strategy can be constructed explicitly.