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

Yuri Kabanov () and Sergey Pergamenshchikov ()
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Yuri Kabanov: LMB - Laboratoire de Mathématiques de Besançon (UMR 6623) - CNRS - Centre National de la Recherche Scientifique - UMLP - Université Marie et Louis Pasteur, MSU - Lomonosov Moscow State University = Université d'État Lomonossov de Moscou
Sergey Pergamenshchikov: LMRS - Laboratoire de Mathématiques Raphaël Salem - UNIROUEN - Université de Rouen Normandie - NU - Normandie Université - CNRS - Centre National de la Recherche Scientifique

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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: Implicit renewal theory; Regime switching; Hidden Markov model; Stochastic volatility; Risky investments; Ruin probabilities (search for similar items in EconPapers)
Date: 2022-09-05
Note: View the original document on HAL open archive server: https://hal.science/hal-05723576v1
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Published in Finance and Stochastics, 2022, 26, pp.877 - 897. ⟨10.1007/s00780-022-00483-w⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05723576

DOI: 10.1007/s00780-022-00483-w

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