An optimal continuous type investment policy for the surplus in a risk model
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Choi, Seung Kyoung | - |
dc.contributor.author | Lee, Eui Yong | - |
dc.date.available | 2021-02-22T05:32:36Z | - |
dc.date.issued | 2018-01 | - |
dc.identifier.issn | 2287-7843 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/2120 | - |
dc.description.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. © 2018 The Korean Statistical Society, and Korean International Statistical Society. | - |
dc.format.extent | 7 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | Korean Statistical Society | - |
dc.title | An optimal continuous type investment policy for the surplus in a risk model | - |
dc.type | Article | - |
dc.publisher.location | 대한민국 | - |
dc.identifier.doi | 10.29220/CSAM.2018.25.1.091 | - |
dc.identifier.scopusid | 2-s2.0-85044080569 | - |
dc.identifier.wosid | 000435616400008 | - |
dc.identifier.bibliographicCitation | Communications for Statistical Applications and Methods, v.25, no.1, pp 91 - 97 | - |
dc.citation.title | Communications for Statistical Applications and Methods | - |
dc.citation.volume | 25 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 91 | - |
dc.citation.endPage | 97 | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART002313821 | - |
dc.description.isOpenAccess | Y | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | esci | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Continuous type investment policy | - |
dc.subject.keywordAuthor | Long-run average cost | - |
dc.subject.keywordAuthor | Optimal investment rate | - |
dc.subject.keywordAuthor | Risk model | - |
dc.subject.keywordAuthor | Surplus process | - |
dc.identifier.url | http://www.csam.or.kr/journal/view.html?doi=10.29220/CSAM.2018.25.1.091 | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
Sookmyung Women's University. Cheongpa-ro 47-gil 100 (Cheongpa-dong 2ga), Yongsan-gu, Seoul, 04310, Korea02-710-9127
Copyright©Sookmyung Women's University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.