Ruin probabilities with investments: smoothness, integro-differential and ordinary differential equations, asymptotic behavior
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Publication:5087008
Abstract: The study deals with the ruin problem when an insurance company having two business branches, life insurance and non-life insurance, invests its reserve into a risky asset with the price dynamics given by a geometric Brownian motion. We prove a result on smoothness of the ruin probability as a function of the initial capital and obtain for it an integro-differential equation understood in the classical sense. For the case of exponentially distributed jumps we show that the survival probability is a solution of an ordinary differential equation of the 4th order. Asymptotic analysis of the latter leads to the conclusion that the ruin probability decays to zero in the same way as in the already studied cases of models with one-side jumps.
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Cited in
(7)- Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
- Ruin probabilities and investment under interest force in the presence of regularly varying tails
- On ruin probabilities in a Sparre Andersen type model in the presence of risky investments and random switching
- On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale
- On ruin probabilities with investments in a risky asset with a regime-switching price
- Ruin probabilities for a Sparre Andersen model with investments
- Viscosity solutions of integro-differential equations for nonruin probabilities
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