Article contents
Ruin theory with stochastic return on investments
Part of:
Stochastic analysis
Published online by Cambridge University Press: 01 July 2016
Abstract
We consider a risk process with stochastic interest rate, and show that the probability of eventual ruin and the Laplace transform of the time of ruin can be found by solving certain boundary value problems involving integro-differential equations. These equations are then solved for a number of special cases. We also show that a sequence of such processes converges weakly towards a diffusion process, and analyze the above-mentioned ruin quantities for the limit process in some detail.
MSC classification
- Type
- General Applied Probability
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- Copyright
- Copyright © Probability Trust 1997
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