Ruin probabilities with investments: smoothness, integro-differential and ordinary differential equations, asymptotic behavior

DOI10.1017/JPR.2021.74zbMATH Open1489.91222arXiv2011.07828OpenAlexW4283379098WikidataQ115337133 ScholiaQ115337133MaRDI QIDQ5087008FDOQ5087008

Authors: Nikita Pukhlyakov, Yuri Kabanov 

Publication date: 8 July 2022

Published in: Journal of Applied Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2011.07828

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zbMATH Keywords

differential equationssmoothnessruin probabilitiesrisky investmentsactuarial models with investments

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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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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