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Ruin theory for classical risk process that is perturbed by diffusion with risky investments

✍ Scribed by Xiang Lin

Publisher: John Wiley and Sons
Year: 2009
Tongue: English
Weight: 114 KB
Volume: 25
Category: Article
ISSN: 1524-1904
DOI: 10.1002/asmb.719

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✦ Synopsis

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 parameter, the risk‐free rate and the correlation coefficient by numerical calculation. We give the relationships between ruin and investment. Copyright © 2008 John Wiley & Sons, Ltd.

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