Ruin probabilities for a risk process with stochastic return on investments
In this paper, we consider a risk process with stochastic return on investments. The basic risk process is the classical risk process while the return on the investment generating process is a compound Poisson process plus a Brownian motion with positive drift. We obtain an integral equation for the ultimate ruin probability which is twice continuously differentiable under certain conditions. We then derive explicit expressions for the lower bound for the ruin probability. We also study a joint distribution related to exponential functionals of Brownian motion which is required in the derivations of the explicit expressions for the lower bound.
Year of publication: |
2004
|
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Authors: | Yuen, Kam C. ; Wang, Guojing ; Ng, Kai W. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 110.2004, 2, p. 259-274
|
Publisher: |
Elsevier |
Keywords: | Integral equation Risk process Ruin probability Stochastic return Survival probability |
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