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

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  • Xiang Lin

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.

Suggested Citation

  • Xiang Lin, 2009. "Ruin theory for classical risk process that is perturbed by diffusion with risky investments," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(1), pages 33-44, January.
    • Handle: RePEc:wly:apsmbi:v:25:y:2009:i:1:p:33-44
    DOI: 10.1002/asmb.719
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    References listed on IDEAS

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    1. Browne, S., 1995. "Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin," Papers 95-08, Columbia - Graduate School of Business.
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    5. Sid Browne, 1995. "Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin," Mathematics of Operations Research, INFORMS, vol. 20(4), pages 937-958, November.
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