Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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An optimal continuous type investment policy for the surplus in a risk model

  • Received : 2017.10.17
  • Accepted : 2017.11.29
  • Published : 2018.01.31
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Abstract

In this paper, we show that there exists an optimal investment policy for the surplus in a risk model, in which the surplus is continuously invested to other business at a constant rate a > 0, whenever the level of the surplus exceeds a given threshold V > 0. We assign, to the risk model, two costs, the penalty per unit time while the level of the surplus being under V > 0 and the opportunity cost per unit time by keeping a unit amount of the surplus. After calculating the long-run average cost per unit time, we show that there exists an optimal investment rate $a^*$>0 which minimizes the long-run average cost per unit time, when the claim amount follows an exponential distribution.

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References

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