Minimizzare la probabilità di fallimento di una compagnia di assicurazione non-vita utilizzando un approccio basato sul controllo ottimo stocastico

This study aims to find the optimal investment strategy for a non-life insurance company in order to minimize its ruin probability. The company has a surplus process which determines the dynamics of the total surplus of the non-life insurer. The surplus has to be invested in the financial market. We assume a financial market with two assets, a risk-less Bond and a risky stock. The optimal investment strategy has been found using a stochastic optimal control approach. Moreover, we assume that the claim size variable follows an exponential distribution and that the claim frequency variable follows a Poisson distribution. We also perform a sensitivity analysis on the key parameters commenting on the results.