کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155913 | 958783 | 2011 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Ruin probability in the Cramér–Lundberg model with risky investments
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
We consider the Cramér–Lundberg model with investments in an asset with large volatility, where the premium rate is a bounded nonnegative random function ctct and the price of the invested risk asset follows a geometric Brownian motion with drift aa and volatility σ>0σ>0. It is proved by Pergamenshchikov and Zeitouny that the probability of ruin, ψ(u)ψ(u), is equal to 11, for any initial endowment u≥0u≥0, if ρ≔2a/σ2≤1ρ≔2a/σ2≤1 and the distribution of claim size has an unbounded support. In this paper, we prove that ψ(u)=1ψ(u)=1 if ρ≤1ρ≤1 without any assumption on the positive claim size.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 121, Issue 5, May 2011, Pages 1125–1137
Journal: Stochastic Processes and their Applications - Volume 121, Issue 5, May 2011, Pages 1125–1137
نویسندگان
Sheng Xiong, Wei-Shih Yang,