Ruin probability in a risk model with variable premium intensity and risky investments
We consider a generalization of the classical risk model when the premium intensity depends on the current surplus of an insurance company. All surplus is invested in the risky asset, the price of which follows a geometric Brownian motion. We get an exponential bound for the infinite-horizon ruin pr...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
AGH Univeristy of Science and Technology Press
2015-01-01
|
| Series: | Opuscula Mathematica |
| Subjects: | |
| Online Access: | http://www.opuscula.agh.edu.pl/vol35/3/art/opuscula_math_3521.pdf |