Sharp Estimates of Ruin Probabilities for Insurance Models Involving Investments

Jin Ma and Xiaodong Sun
Additional contact information
Jin Ma: Department of Mathematics, Purdue University, West Lafayette, IN 47907-1395, USA
Xiaodong Sun: Department of Mathematics, Purdue University, West Lafayette, IN 47907-1395, USA

Chapter 7 in Recent Developments in Mathematical Finance, 2001, pp 72-84 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractIn this note we introduce a general method for estimating ruin probabilities for insurance models that allows the insurance company to invest in a financial market. Our method is based on a new type of exponential martingale parametrized by a rate function. We show by examples that many existing Lundberg-type bounds can be reduced to finding an appropriate rate function. To study the asymptotics of the Lundberg bounds in such a general setting, we establish the relation between the ruin probability and a special type of storage process characterized by a generalized reflected SDE with discontinuous paths. Based on such a relation we use large deviation techniques to derive, in some special but non trivial cases, the limiting behavior of ruin probabilities, as well as the adjustment coefficients.

Keywords: Proceedings; Conference; Mathematical Finance; Shanghai (China) (search for similar items in EconPapers)
Date: 2001
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812799579_0007 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812799579_0007 (text/html)
Ebook Access is available upon purchase.

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:wsi:wschap:9789812799579_0007

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().