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Power tailed ruin probabilities in the presence of risky investments

Vladimir Kalashnikov and Ragnar Norberg

Stochastic Processes and their Applications, 2002, vol. 98, issue 2, 211-228

Abstract: The present paper addresses the situation where the reserve of an insurance business is currently invested in an asset that may yield negative interest. Upper and lower bounds for the probability of ruin are obtained in the case where the cash flow of premiums less claims and the logarithm of the asset price are both Lévy processes. These bounds are in general power functions of the initial reserve.

Keywords: Probability; of; ruin; Stochastic; interest; Lévy; processes; Two-sided; bounds (search for similar items in EconPapers)
Date: 2002
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Handle: RePEc:eee:spapps:v:98:y:2002:i:2:p:211-228