TY - JOUR
T1 - On the distribution tail of an integrated risk model
T2 - A numerical approach
AU - Brokate, M.
AU - Klüppelberg, C.
AU - Kostadinova, R.
AU - Maller, R.
AU - Seydel, R. C.
PY - 2008/2
Y1 - 2008/2
N2 - We consider an insurance risk process with the possibility to invest the capital reserve into a portfolio consisting of a risky asset and a riskless asset. The stock price is modelled by an exponential Lévy process and the riskless interest rate is assumed to be constant. We aim at the risk assessment of the integrated risk process in terms of a high quantile or the far out distribution tail. We indicate an application to an optimal investment strategy of an insurer.
AB - We consider an insurance risk process with the possibility to invest the capital reserve into a portfolio consisting of a risky asset and a riskless asset. The stock price is modelled by an exponential Lévy process and the riskless interest rate is assumed to be constant. We aim at the risk assessment of the integrated risk process in terms of a high quantile or the far out distribution tail. We indicate an application to an optimal investment strategy of an insurer.
KW - Exponential Lévy process
KW - Finite difference method
KW - Integrated insurance risk process
KW - Integrated risk management
KW - Optimal investment strategy
KW - Partial integro-differential equation
KW - Tail behaviour
KW - Value-at-Risk
UR - http://www.scopus.com/inward/record.url?scp=38649143202&partnerID=8YFLogxK
U2 - 10.1016/j.insmatheco.2007.01.006
DO - 10.1016/j.insmatheco.2007.01.006
M3 - Article
SN - 0167-6687
VL - 42
SP - 101
EP - 106
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
IS - 1
ER -