On ruin probabilities with risky investments
Probability
2020-12-10 v1
Abstract
We investigate the asymptotic of ruin probabilities when the company combines the life- and non-life insurance businesses and invests its reserve into a risky asset with stochastic volatility and drift driven by a two-state Markov process. Using the technique of the implicit renewal theory we obtain the rate of convergence to zero of the ruin probabilities.
Keywords
Cite
@article{arxiv.2012.05083,
title = {On ruin probabilities with risky investments},
author = {Anastasiya Ellanskaya and Yuri Kabanov},
journal= {arXiv preprint arXiv:2012.05083},
year = {2020}
}
Comments
10 pages