Ruin theory for classical risk process that is perturbed by diffusion with risky investments

Xiang Lin

Applied Stochastic Models in Business and Industry, 2009, vol. 25, issue 1, 33-44

Abstract: In this paper, we study the ruin theory for classical risk process that is perturbed by diffusion with risky investments. We obtain the upper bound for the minimal ruin probability. We also investigate the relationships between the adjustment coefficient and the diffusion volatility parameter, the risk‐free rate and the correlation coefficient by numerical calculation. We give the relationships between ruin and investment. Copyright © 2008 John Wiley & Sons, Ltd.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/asmb.719

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:wly:apsmbi:v:25:y:2009:i:1:p:33-44

Access Statistics for this article

More articles in Applied Stochastic Models in Business and Industry from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().