In the insurance business risky investments are dangerous

被引：79

作者：

Frolova, A

Kabanov, Y

Pergamenshchikov, S

机构：

[1] Alfa Bank, Moscow, Russia

[2] Univ Franche Comte, Math Lab, F-25030 Besancon, France

[3] Cent Econ & Math Inst, Moscow, Russia

[4] Tomsk VV Kuibyshev State Univ, Tomsk 634050, Russia

来源：

FINANCE AND STOCHASTICS | 2002年 / 6卷 / 02期

关键词：

risk process; geometric Brownian motion; ruin probabilities;

D O I：

10.1007/s007800100057

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We find an exact asymptotics of the ruin probability Psi(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 sigma > 0. In contrast to the classical case of non-risky investments where the ruin probability decays exponentially as the initial endowment u tends to infinity, in this model we have, if rho := 2a/sigma(2) > 1, that Psi(u) similar to Ku(1-rho) for some K > 0. If rho < 1, then Psi(u) = 1.

引用

页码：227 / 235

页数：9