On ruin probabilities with risky investments

Anastasiya Ellanskaya; Yuri Kabanov

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arXiv · 2012.05083

On ruin probabilities with risky investments

Anastasiya Ellanskaya·Yuri Kabanov

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Abstract

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.

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Anastasiya Ellanskaya, Yuri Kabanov. 2020-12-09. On ruin probabilities with risky investments. https://arxiv.org/abs/2012.05083

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