Our official English website, www.x-mol.net, welcomes your
feedback! (Note: you will need to create a separate account there.)
On ruin probabilities with risky investments in a stock with stochastic volatility
Extremes ( IF 1.1 ) Pub Date : 2021-05-20 , DOI: 10.1007/s10687-021-00420-8 Anastasiya Ellanskaya , Yuri Kabanov
中文翻译:
关于具有随机波动性的股票进行风险投资的破产概率
更新日期:2021-05-20
Extremes ( IF 1.1 ) Pub Date : 2021-05-20 , DOI: 10.1007/s10687-021-00420-8 Anastasiya Ellanskaya , Yuri Kabanov
We investigate the asymptotic of ruin probabilities when the company combines the life- and non-life insurance businesses and invests its reserve into a risky asset with stochastic volatility and drift driven by a two-state Markov process. Using the technique of the implicit renewal theory we obtain the rate of convergence to zero of the ruin probabilities.
中文翻译:
关于具有随机波动性的股票进行风险投资的破产概率
当公司合并寿险和非寿险业务并将其准备金投资到风险资产时,我们将考察其破产概率的渐近性,该风险资产的波动性和漂移是由两个状态的马尔可夫过程驱动的。使用隐式更新理论的技术,我们得出了破产概率为零的收敛速度。