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Asymptotic optimal investment under interest rate for a class of subexponential distributions

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  • Julia Eisenberg

Abstract

We consider a classical risk model with the possibility of investment and positive interest rate for the riskless bond. The stock price movement is modelled as a geometric Brownian motion, the claim sizes are assumed to have a distribution belonging to a certain subclass of subexponential distributions. In this setting, we study the asymptotic behaviour of the optimal investment strategy under the ruin probability as a risk measure. This problem has been already considered before, but no results were obtained, for instance, for Weibull and Benktander-type-II distributions with certain parameters. We introduce a method which closes this gap.

Suggested Citation

  • Julia Eisenberg, 2014. "Asymptotic optimal investment under interest rate for a class of subexponential distributions," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2014(8), pages 671-689, November.
    • Handle: RePEc:taf:sactxx:v:2014:y:2014:i:8:p:671-689
    DOI: 10.1080/03461238.2012.756829
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