Ruin Probabilities for Insurance Models Involving Investments (Q4455902)

This paper deals with the ruin problem for insurance models that involve investments. The authors consider the model \[ X_{t}=x+\int_{0}^{t}[r_{s}X_{s}+c(1+\rho(s,X_{s}))+\langle\pi_{s },\mu_{s}-r_{s}{\mathbf 1}\rangle]\,ds+\int_{0}^{t}\langle\pi_{s},\sigma_{s}\,dW_{s}\rangle- \int_{0}^{t}\int_{R_{+}}f(s,x,\cdot)N_{p}(ds,dx), \] where \(\rho\) is the expense loading function; \(f\) is the claim rate; \(N_{p}\) is a stationary Poisson point process; \(W\) is a standard Brownian motion; \(r\) is the interest rate of the riskless bank account; \(\mu=(\mu_{1},\ldots,\mu_{n})\) is the mean return of the risky securities; \(\sigma\) is the volatility matrix of the financial market; \(\pi=(\pi_{1},\ldots,\pi_{n})\) is the portfolio of the insurer. Using the exponential martingale parametrized by a general rate function the authors derive various Cramér-Lundberg type bounds. It is shown that many existing Lundberg-type bounds for ruin probabilities can be recovered by appropriately choosing the rate functions.