2021/10/17 by Yuri Kabanov, Kabanov, Yuri, Serguei Pergamenshchikov +1
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #60G44 #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2110.08784
openalex publication_date 2021/10/17 · openalex created_date 2021/10/25 · openalex updated_date 2026/07/28
We investigate the asymptotic of ruin probabilities when the company invests its reserve in a risky asset with a switching regime price. We assume that the asset price is a conditional geometric Brownian motion with parameters modulated by a Markov process with a finite number of states. Using the technique of the implicit renewal theory we obtain the rate of convergence to zero of the ruin probabilities as the initial capital tends to infinity.