On ruin probabilities with risky investments
| Autor: | Ellanskaya, Anastasiya, Kabanov, Yuri |
|---|---|
| Rok vydání: | 2020 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | We investigate the asymptotic of ruin probabilities when the company combines the life- and non-life insurance businesses and invests its reserve into a risky asset with stochastic volatility and drift driven by a two-state Markov process. Using the technique of the implicit renewal theory we obtain the rate of convergence to zero of the ruin probabilities. Comment: 10 pages |
| Databáze: | arXiv |
| Externí odkaz: |
|