A Note on the Ruin Problem with Risky Investments

David Maher

Papers from arXiv.org

Abstract: We reprove a result concerning certain ruin in the classical problem of the probability of ruin with risky investments and several of it's generalisations. We also provide the combined transition density of the risk and investment processes in the diffusion case.

Date: 2005-06, Revised 2005-07
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:math/0506127

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