RUIN PROBABILITY IN THE CONTINUOUS-TIME COMPOUND BINOMIAL MODEL WITH INVESTMENT |
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| Authors: | Shuaiqi ZHANG;Guoxin LIU;Meici SUN |
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| Affiliation: | Shuaiqi ZHANG;Guoxin LIU;Meici SUN;School of Economics and Commerce,Guangdong University of Technology;School of Science,Hebei University of Technology;Department of Mathematics,Shijiazhuang Tiedao University;Department of Mathematics,Shijiazhuang Mechanical Engineering College; |
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| Abstract: | This article deals with the problem of minimizing ruin probability under optimal control for the continuous-time compound binomial model with investment.The jump mechanism in our article is different from that of Liu et al4].Comparing with4],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 generator.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. |
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