Asymptotics of ruin probabilities for controlled risk processes in the small claims case
Authors:
Christian Hipp
Affiliation:
Department of Mathematical Sciences , University of Nevada , Las Vegas, NV, 89154
Abstract:
We consider a risk process with the possibility of investment into a risky asset. The aim of the paper is to obtain the asymptotic behaviour of the ruin probability under the optimal investment strategy in the small claims case. In addition we prove convergence of the optimal investment level as the initial capital tends to infinity.