On ruin probabilities with investments in a risky asset with a regime-switching price

Yuri Kabanov () and Sergey Pergamenshchikov ()
Additional contact information
Yuri Kabanov: Université Bourgogne Franche-Comté
Sergey Pergamenshchikov: Université de Rouen - Normandie

Finance and Stochastics, 2022, vol. 26, issue 4, No 5, 877-897

Abstract: Abstract We investigate the asymptotics of ruin probabilities when the company invests its reserve in a risky asset with a regime-switching price. We assume that the asset price is a conditional geometric Brownian motion with parameters modulated by a Markov process with a finite number of states. Using techniques from implicit renewal theory, we obtain the rate of convergence to zero of the ruin probabilities as the initial capital tends to infinity.

Keywords: Ruin probabilities; Risky investments; Stochastic volatility; Hidden Markov model; Regime switching; Implicit renewal theory; 60G44 (search for similar items in EconPapers)
JEL-codes: G22 G23 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s00780-022-00483-w Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00483-w

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

DOI: 10.1007/s00780-022-00483-w

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().