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Book Chapter

The Markov-Modulated Risk Model with Investment

  • Kötter M
  • Bäuerle N
Springer Berlin Heidelberg, (2007), 575-580
DOI: 10.1007/978-3-540-69995-8_91
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Abstract

We consider Markov-modulated risk reserves which can be invested into a stock index following a geometric Brownian motion. Within a special class of investment policies we identify one which maximizes the adjustment coefficient. A comparison to the compound Poisson case is also given.

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Kötter, M., & Bäuerle, N. (2007). The Markov-Modulated Risk Model with Investment. In Operations Research Proceedings 2006 (pp. 575–580). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-69995-8_91

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