Controlled Risk Processes and Subexponential Claims
Hanspeter Schmidli
Recently, there was increased interest in risk processes where the insurer can control the surplus process. One can show that under quite mild conditions there exists an optimal strategy such that the ruin probability becomes minimal. We focus in this talk on the case with heavy claim size distributions and show the asymptotic behaviour of the optimal ruin probability as well as the asymptotic behaviour of the optimal strategies.