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Ruin probabilities for a risk process with stochastic return on investments

✍ Scribed by Kam C. Yuen; Guojing Wang; Kai W. Ng

Book ID: 108265748
Publisher: Elsevier Science
Year: 2004
Tongue: English
Weight: 300 KB
Volume: 110
Category: Article
ISSN: 0304-4149
DOI: 10.1016/j.spa.2003.10.007

No coin nor oath required. For personal study only.

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## Abstract In this paper, we study the ruin theory for classical risk process that is perturbed by diffusion with risky investments. We obtain the upper bound for the minimal ruin probability. We also investigate the relationships between the adjustment coefficient and the diffusion volatility par