Abstract
In a classical risk process reinsurance and investment can be chosen at any time. We find the Lundberg exponent and the Cramer–Lundberg approximation for the ruin probability under the optimal strategy in the case where no exponential moments for the claim size distribution exist. We also show that the optimal strategies converge.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
