Ruin Probabilities for Insurance Models Involving Investments

Jin Ma and Xiaodong Sun

Scandinavian Actuarial Journal, 2003, vol. 2003, issue 3, 217-237

Abstract: In this paper we study the ruin problem for insurance models that involve investments. Our risk reserve process is an extension of the classical Cramér-Lundberg model, which will contain stochastic interest rates, reserve-dependent expense loading, diffusion perturbed models, and many others as special cases. By introducing a new type of exponential martingale parametrized by a general rate function, we put various Cramér-Lundberg type estimations into a unified framework. We show by examples that many existing Lundberg-type bounds for ruin probabilities can be recovered by appropriately choosing the rate functions.

Date: 2003
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DOI: 10.1080/03461230110106381

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