Proportional reinsurance and investment in multiple risky assets under borrowing constraint

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dc.authoridYener, Haluk/0000-0003-2654-5810
dc.authorwosidYener, Haluk/AAG-5885-2019
dc.contributor.authorYener, Haluk
dc.date.accessioned2024-07-18T20:55:11Z
dc.date.available2024-07-18T20:55:11Z
dc.date.issued2020
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractIn this paper, we consider the ruin probability minimization of an insurance company that buys proportional reinsurance and invests in markets where borrowing is constrained. We use a diffusion approximation model for the surplus process of this company and assume that the company invests its surplus into a riskless and multiple risk assets that are modeled as geometric Brownian motions. To find the results, we introduce an auxiliary market parametrized with fictitious processes to relax the borrowing constraint and apply the techniques of stochastic optimal control. In this way, we find the optimal proportional reinsurance and investment strategy of an insurance company investing into multiple risky assets to minimize its ruin probability under the borrowing constraint. Furthermore, from our solutions, we show how our results connect to economic survival analysis and how investment and reinsurance strategies are related.en_US
dc.identifier.doi10.1080/03461238.2019.1676301
dc.identifier.endpage418en_US
dc.identifier.issn0346-1238
dc.identifier.issn1651-2030
dc.identifier.issue5en_US
dc.identifier.scopus2-s2.0-85074323075en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage396en_US
dc.identifier.urihttps://doi.org/10.1080/03461238.2019.1676301
dc.identifier.urihttps://hdl.handle.net/11411/8770
dc.identifier.volume2020en_US
dc.identifier.wosWOS:000490505700001en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherTaylor & Francis Ltden_US
dc.relation.ispartofScandinavian Actuarial Journalen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectRuin Probabilityen_US
dc.subjectProportional Reinsuranceen_US
dc.subjectHamilton?Jacobi?Bellman Equationen_US
dc.subjectPortfolio Selectionen_US
dc.subjectBorrowing Constrainten_US
dc.subjectProbabilityen_US
dc.subjectRuinen_US
dc.subjectPoliciesen_US
dc.titleProportional reinsurance and investment in multiple risky assets under borrowing constraint
dc.typeArticle

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