Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: the large claim case
In a classical risk process reinsurance and investment can be chosen at any time. We find the Lundberg exponent and the Cramer-Lundberg approximation for the ruin probability under the optimal strategy in the case where no exponential moments for the claim size distribution exist. We also show that the optimal strategies converge.
ruin probability cramer-lundberg approximation optimal control adjustment coefficient heavy tails subexponential distributions geometric brownian motion