Ruin probabilities with investments in random environment: smoothness
Probability
2023-11-21 v1
Abstract
The paper deals with the ruin problem of an insurance company investing its capital reserve in a risky asset with the price dynamics given by a conditional geometric Brownian motion whose parameters depend on a Markov process describing a random variations in the economic and financial environments. We prove smoothness of the ruin probability as a function of the initial capital and obtain for it an integro-differential equation.
Keywords
Cite
@article{arxiv.2311.11023,
title = {Ruin probabilities with investments in random environment: smoothness},
author = {Viktor Antipov and Yuri Kabanov},
journal= {arXiv preprint arXiv:2311.11023},
year = {2023}
}