Ruin probability in the Cramér-Lundberg model with risky investments

Sheng Xiong and Wei-Shih Yang

Stochastic Processes and their Applications, 2011, vol. 121, issue 5, 1125-1137

Abstract: We consider the Cramér-Lundberg model with investments in an asset with large volatility, where the premium rate is a bounded nonnegative random function ct and the price of the invested risk asset follows a geometric Brownian motion with drift a and volatility [sigma]>0. It is proved by Pergamenshchikov and Zeitouny that the probability of ruin, [psi](u), is equal to 1, for any initial endowment u>=0, if [rho]:=2a/[sigma]2

Keywords: Cramer-Lundberg; model; Geometric; Brownian; motion; Ruin; probability (search for similar items in EconPapers)
Date: 2011
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