Ruin theory with stochastic return on investments

Ruin theory with stochastic return on investments

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Article ID: iaor1999472
Country: United Kingdom
Volume: 29
Issue: 4
Start Page Number: 965
End Page Number: 985
Publication Date: Dec 1997
Journal: Advances in Applied Probability
Authors: ,
Abstract:

We consider a risk process with stochastic interest rate, and show that the probability of eventual ruin and the Laplace transform of the time of ruin can be found by solving certain boundary value problems involving integro-differential equations. These equations are then solved for a number of special cases. We also show that a sequence of such processes converges weakly towards a diffusion process, and analyze the above-mentioned ruin quantities for the limit process in some detail.

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