Random recurrence equations and ruin in a Markov-dependent stochastic economic environment (Q835065)

This note devoted to the study of large deviation asymptotics for the probability of ruin in a Markov--dependent stochastic economic environment and investigates the extremes for some related Markovian processes which arise in financial and insurance mathematics. The paper is organized as follows. The first section is introductionary part. In the next section the author gives a more precise description of the ruin problem with stochastic investments and then turns to a Markovian formulation of the problem. Next, he describes the same Markovian formulation but for perpetuities and the ARCH(1) and GARCH(1,1) financial models. Some examples are given in section 3, proofs are given in section 4 and 5 and generalizations are briefly discussed in section 6.