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A Note on the Ruin Problem with Risky Investments

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  • David Maher
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    Abstract

    We reprove a result concerning certain ruin in the classical problem of the probability of ruin with risky investments and several of it's generalisations. We also provide the combined transition density of the risk and investment processes in the diffusion case.

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    File URL: http://arxiv.org/pdf/math/0506127
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number math/0506127.

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    Date of creation: Jun 2005
    Date of revision: Jul 2005
    Handle: RePEc:arx:papers:math/0506127

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    Web page: http://arxiv.org/

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    1. Paulsen, Jostein, 1993. "Risk theory in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 46(2), pages 327-361, June.
    2. Anna Frolova & Serguei Pergamenshchikov & Yuri Kabanov, 2002. "In the insurance business risky investments are dangerous," Finance and Stochastics, Springer, vol. 6(2), pages 227-235.
    3. Paulsen, Jostein, 1998. "Sharp conditions for certain ruin in a risk process with stochastic return on investments," Stochastic Processes and their Applications, Elsevier, vol. 75(1), pages 135-148, June.
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