Kalashnikov, Vladimir; Norberg, Ragnar - In: Stochastic Processes and their Applications 98 (2002) 2, pp. 211-228
The present paper addresses the situation where the reserve of an insurance business is currently invested in an asset that may yield negative interest. Upper and lower bounds for the probability of ruin are obtained in the case where the cash flow of premiums less claims and the logarithm of...
