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arXiv · 2012.06673

Ruin Probabilities for a Sparre Andersen Model with Investments

Ernst Eberlain·Yuri Kabanov·Thorsten Schmidt
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Abstract

We study a Sparre Andersen model in which the business activity of the company is described by a compound renewal process with drift assuming that the capital reserves are invested in a risky asset. The price of the latter is assumed to evolve according to a geometric L\'evy process. We prove that the asymptotic behavior of the ruin probability depends to a large extent only on the properties of the price process.

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Ernst Eberlain, Yuri Kabanov, Thorsten Schmidt. 2020-12-11. Ruin Probabilities for a Sparre Andersen Model with Investments. https://arxiv.org/abs/2012.06673

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