In the insurance business risky investments are dangerous (Q1849793): Difference between revisions
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Latest revision as of 22:04, 19 March 2024
scientific article
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English | In the insurance business risky investments are dangerous |
scientific article |
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In the insurance business risky investments are dangerous (English)
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1 December 2002
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The authors consider the process of insurance company capital \(X_{t}^{u}\) driven by the equation \[ X_{t}=u+a\int\limits_{0}^{t}X_{s}ds+ \sigma\int\limits_{0}^{t}X_{s}dw_{s}+ct- \int\limits_{0}^{t} \int x p(ds,dx), \] where \(a,\sigma\) are arbitrary constants, \(c\geq 0\); \(w_{t}\) is a Wiener process independent on the integer-valued random measure \(p(dt,dx)\) with the compensator \(\tilde p(dt,dx)=\alpha dtF(dx)\); \(F(dx)\) is a probability distribution. Let \(\tau^{u}=\inf\{t:\;X_{t}^{u}\leq 0\}\), \(\Psi(u)=P(\tau^{u}<\infty)\). The following result is proved. Assume that \(\sigma>0\) and let \(F(x)=1-e^{-x/\mu}, x>0\). If \(\rho=2a/\sigma^2>1\), then for some \(K>0\) \(\Psi(u)=Ku^{1-\rho}(1+o(1)),\;u\to\infty\). If \(\rho<1\), then \(\Psi(u)=1\) for all \(u\).
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risk process
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geometric Brownian motion
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ruin probability
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