RUIN PROBABILITY IN THE CONTINUOUS-TIME COMPOUND BINOMIAL MODEL WITH INVESTMENT

Shuaiqi ZHANG; Guoxin LIU; Meici SUN

doi:10.1016/S0252-9602(15)60003-0

Acta mathematica scientia, Series B >

2015 , Vol. 35 >Issue 2: 313 - 325

DOI: https://doi.org/10.1016/S0252-9602(15)60003-0

Articles

RUIN PROBABILITY IN THE CONTINUOUS-TIME COMPOUND BINOMIAL MODEL WITH INVESTMENT

Shuaiqi ZHANG ,
Guoxin LIU ,
Meici SUN

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1. School of Economics and Commerce, Guangdong University of Technology, Guangzhou 510520, China School of Science, Hebei University of Technology, Tianjin 300401, China;
2. Department of Mathematics, Shijiazhuang Tiedao University, Shijiazhuang 050043, China;
3. Department of Mathematics, Shijiazhuang Mechanical Engineering College, Shijiazhuang 050005, China

Received date: 2012-07-03

Revised date: 2014-04-06

Online published: 2015-03-20

Supported by

Shuaiqi Zhang is supported by the Nature Science Foundation of Hebei Province (A2014202202 ) and Guoxin Liu is supported by the Nature Science Foundation of China (11471218).

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Abstract

This article deals with the problem of minimizing ruin probability under opti- mal control for the continuous-time compound binomial model with investment. The jump mechanism in our article is different from that of Liu et al [4]. Comparing with [4], the introduction of the investment, and hence, the additional Brownian motion term, makes the problem technically challenging. To overcome this technical difficulty, the theory of change of measure is used and an exponential martingale is obtained by virtue of the extended gen- erator. The ruin probability is minimized through maximizing adjustment coefficient in the sense of Lundberg bounds. At the same time, the optimal investment strategy is obtained.

Key words： The continuous-time compound binomial model; investment; ruin probability; Lundberg bounds

Cite this article

Shuaiqi ZHANG , Guoxin LIU , Meici SUN . RUIN PROBABILITY IN THE CONTINUOUS-TIME COMPOUND BINOMIAL MODEL WITH INVESTMENT[J]. Acta mathematica scientia, Series B, 2015 , 35(2) : 313 -325 . DOI: 10.1016/S0252-9602(15)60003-0

References

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