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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© 2007 Springer-Verlag Berlin Heidelberg
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Kötter, M., Bäuerle, N. (2007). The Markov-Modulated Risk Model with Investment. In: Waldmann, KH., Stocker, U.M. (eds) Operations Research Proceedings 2006. Operations Research Proceedings, vol 2006. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-69995-8_91
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DOI: https://doi.org/10.1007/978-3-540-69995-8_91
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-69994-1
Online ISBN: 978-3-540-69995-8
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