No label defined (Q4792526)

To determine ruin probabilities is an important problem in insurance mathematics, not only from the theoretical side. Here the authors analyze the ruin probability for a general risk reserve process which contains the following components: A compound Poisson claims process and assets invested in a financial market with riskless and risky assets. The latter are described by a multidimensional Wiener process. To derive Lundberg bounds the authors construct an exponential martingale parametrized by a suitable rate function. Thus they are able to derive the most well known Lundberg bounds. In a second part the authors establish a relation between the ruin probability and a storage type process, which in turn can be described by a stochastic differential equation with discontinuous paths and reflecting boundary conditions. With this the asymptotics of the ruin probabilities can be described. All in all this paper is difficult to read because for the key results the authors refer to two unpublished preprints of theirs. For the entire collection see [Zbl 0988.00099].