Abstract
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.
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This work was supported by the Russian Science Foundation grant 20-68-47030.
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Ellanskaya, A., Kabanov, Y. On ruin probabilities with risky investments in a stock with stochastic volatility. Extremes 24, 687–697 (2021). https://doi.org/10.1007/s10687-021-00420-8
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DOI: https://doi.org/10.1007/s10687-021-00420-8
Keywords
- Ruin probabilities
- Stochastic volatility
- Telegraph signal
- Hidden Markov model
- Regime switching
- Implicit renewal theory