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Ruin Probabilities for Insurance Models Involving Investments

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  • Jin Ma
  • Xiaodong Sun

Abstract

In this paper we study the ruin problem for insurance models that involve investments. Our risk reserve process is an extension of the classical Cramér-Lundberg model, which will contain stochastic interest rates, reserve-dependent expense loading, diffusion perturbed models, and many others as special cases. By introducing a new type of exponential martingale parametrized by a general rate function, we put various Cramér-Lundberg type estimations into a unified framework. We show by examples that many existing Lundberg-type bounds for ruin probabilities can be recovered by appropriately choosing the rate functions.

Suggested Citation

  • Jin Ma & Xiaodong Sun, 2003. "Ruin Probabilities for Insurance Models Involving Investments," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2003(3), pages 217-237.
    • Handle: RePEc:taf:sactxx:v:2003:y:2003:i:3:p:217-237
    DOI: 10.1080/03461230110106381
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