On ruin probabilities with risky investments in a stock with stochastic volatility

Ellanskaya Anastasiya; Kabanov Yuri

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On ruin probabilities with risky investments in a stock with stochastic volatility

机译：关于危险投资的破坏概率，随机波动性股票投资

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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.

机译：当公司结合生命和非人寿保险业务时，我们调查破坏概率的渐近，并将其储备投入危险资产，随着两国马尔可夫进程驱动的随机波动和漂移。使用隐式续展理论的技术，我们获得了毁灭概率的零的收敛速度。

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来源
《Extremes》 |2021年第4期|687-697|共11页
作者
Ellanskaya Anastasiya; Kabanov Yuri;
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作者单位

Lomonosov Moscow State Univ Moscow Russia;

Lomonosov Moscow State Univ Moscow Russia;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Ruin probabilities; Stochastic volatility; Telegraph signal; Hidden Markov model; Regime switching; Implicit renewal theory; G22;

机译：毁灭性概率;随机波动性;电报信号;隐藏的马尔可夫模型;政权切换;隐含更新理论;G22;

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专利

1. An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments [J] . Mohamed Badaoui, Begona Fernandez Insurance . 2013,第1期

机译：在投资具有随机波动性的情况下，具有最大风险规避及其破产概率的最优投资策略
2. Bounds of Ruin Probabilities for Insurance Companies in the Presence of Stochastic Volatility on Investments [J] . Mohamed Badaoui, Bego?a Fernández ESAIM: Proceedings . 2011,第113期

机译：存在投资随机波动的保险公司的破产概率的界线
3. Asymptotic Estimates for the One-Year Ruin Probability under Risky Investments [J] . Jing Liu, Huan Zhang Risks . 2017,第2期

机译：风险投资下一年破产概率的渐近估计
4. Ruin Probability in the Presence of Risky Investment by Insurance Capital [C] . Jiang, Tao, Wen, Liyan International Conference on Management and Service Science;MASS 2009 . 2009

机译：保险资本存在风险投资下的破产概率
5. Renewal risk processes with stochastic returns on investments: A unified approach and analysis of the ruin probabilities. [D] . Constantinescu, Corina D. 2006

机译：具有随机投资回报的更新风险过程：统一的方法和破产概率的分析。
6. Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance [O] . Lin Xu, Minghan Wang, Bin Zhang -1

机译：通过投资和再保险在相关风险模型下最小化Lundberg不等式的破产概率
7. BOUNDS OF RUIN PROBABILITIES FOR INSURANCE COMPANIES IN THE PRESENCE OF STOCHASTIC VOLATILITY ON INVESTMENTS ∗, ∗∗ [O] . Mohamed Badaoui 2015

机译：保险公司在存在投资的随机波动性时的破产概率*，**

On ruin probabilities with risky investments in a stock with stochastic volatility

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