Sharp conditions for certain ruin in a risk process with stochastic return on investments (Q1805763): Difference between revisions

The paper analyzes the wealth process \(Y\) of an asset holder whose cumulative random income flow \(P\) is continuously compounded at a random return rate \(R\) and devalued by a random inflation \(I\). Processes \(P\), \(R\) and \(I\) are Lévy semimartingales. \(P\) is independent of \((I,R)\). Jumps in \(I\) and \(R\) are a.s. greater than \(-1\). Using the Lévy-Itô representations of \(P\) and \(R\) and imposing certain integrability conditions on the compensators of the random measures of their jumps, the author gives sufficient conditions for ``certain ruin'' (the wealth \(Y\) becoming negative in a finite time), given that the drift part of the return process \(R\) is non-positive. For the case of a positive drift of \(R\), a formula for probability of ruin in a finite time is proposed.