Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment |
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| Authors: | Hans U Gerber ASA PhD Hailiang Yang ASA PhD |
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| Institution: | 1. University of Hong Kong;2. Ecole des hautes études commerciales , Université de Lausanne , CH-1015 Lausanne , Switzerland;3. Department of Statistics and Actuarial Science , University of Hong Kong , Pokfulam Road , Hong Kong |
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| Abstract: | Abstract This article considers the compound Poisson insurance risk model perturbed by diffusion with investment. We assume that the insurance company can invest its surplus in both a risky asset and the risk-free asset according to a fixed proportion. If the surplus is negative, a constant debit interest rate is applied. The absolute ruin probability function satisfies a certain integro-differential equation. In various special cases, closed-form solutions are obtained, and numerical illustrations are provided. |
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