Another approach to the problem of the ruin probability estimate for risk process with investments

• Date: 2007
• Main Authors: Androshchuk, M., Mishura, Y.
• Format: Article
• Language: English
• Published: Інститут математики НАН України 2007
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/4510
• Journal Title: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Cite this: Another approach to the problem of the ruin probability estimate for risk process with investments / M. Androshchuk, Y. Mishura // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 1–18. — Бібліогр.: 8 назв.— англ.

An exponential estimate of ruin probability for an insurance company which invests all its capital in risk assets is found. The process which describes the risky assets is assumed to follow a geometrical Brownian motion. Insurance premium flow depends on the value of reserves of the insurance company...