A Note on the Ruin Problem with Risky Investments
Probability
2008-12-02 v2 Risk Management
Abstract
We reprove a result concerning certain ruin in the classical problem of the probability of ruin with risky investments and several of it's generalisations. We also provide the combined transition density of the risk and investment processes in the diffusion case.
Cite
@article{arxiv.math/0506127,
title = {A Note on the Ruin Problem with Risky Investments},
author = {David Maher},
journal= {arXiv preprint arXiv:math/0506127},
year = {2008}
}
Comments
12 pages; Corrected typos and labels