Highly Influenced

@article{Kabanov2002InTI, title={In the insurance business risky investments are dangerous: the case of negative risk sums}, author={Yuri Kabanov and Serguei Pergamenshchikov}, journal={Finance and Stochastics}, year={2002}, volume={20}, pages={355-379} }

- Published 2002 in Finance and Stochastics
DOI:10.1007/s00780-016-0292-4

We find an exact asymptotics of the ruin probability Ψ(u) when the capital of insurance company is invested in a risky asset whose price follows a geometric Brownian motion with mean return a and volatility σ > 0. In contrast to the classical case of non-risky investments where the ruin probability decays exponentially as the initial endowment u tends to… CONTINUE READING

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