Asymptotics of ruin probabilities for risk processes under optimal reinsurance poli- cies: the small claim case
نویسنده
چکیده
We consider a classical risk model with the possibility of reinsurance. Moreover, in one of the models also investment into a risky asset is possible. The insurer follows the optimal strategy. In this paper we find the Cramér-Lundberg approximation in the small claim case and prove that the optimal strategy converges to the asymptotically optimal strategy as the capital increases to infinity. 1991 Mathematical Subject Classification: Primary 60F10; Secondary 60G35, 65K10
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