STOCHASTIC RISK MEASURES FOR THE LUNDBERG MODEL WITH REINSURANCE AND INVESTMENT
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Date
2020-11-24Author
N'Gozan, Benie Justine
0000-0002-6455-0920
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Risk measures emerge in fields such as economics, insurance, finance and are concerned with a stochastic representation of uncertainties stemming from the unpredictability of the real world events. In essence, risk analysis amounts to quantifying the chances of undesirable events and developing a model that limits the impact of potential losses. Assets and liabilities in the Insurance industry, as well as financial goals of Investment companies rely on calculating the probability that their respective portfolios satisfy the preset constraints. On the flip side, risk measures serve both industries by providing optimal strategies for minimizing losses. Our research is concerned with Distorted Risk Measures (DRMs) in stochastic optimization regarding decisions about the size of the risk exposure. We extend the classical Lundberg Risk Model to the case of periodic reinsurance with investment.