Risk theory in a stochastic economic environment (Q2368172)

The author introduces a rather general stochastic model for the risk process \(Y\) of an insurance company. The surplus generating process \(P\) (premiums minus claims), the inflation generating process \(I\) and the return on investment generating process \(R\) are assumed to be semimartingales. \(Y\) is given as the solution of a one-dimensional stochastic differential equation involving \(P\), \(I\) and \(R\). In the second part, the author discusses the problem of computing the probability of eventual ruin under more restrictive assumptions on \(P\), \(I\) and \(R\).