Ruin Probabilities with Investments in Random Environment: Smoothness

Ruin Probabilities with Investments in Random Environment: Smoothness

This paper deals with the ruin problem of an insurance company investing its capital reserve in a risky asset with the price dynamics given by a conditional geometric Brownian motion whose parameters depend on a Markov process describing random variations in the economic and financial environments....

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Bibliographic Details
Main Authors: Viktor Antipov, Yuri Kabanov
Format: Article
Language:English
Published: MDPI AG 2024-05-01
Series:Mathematics
Subjects:
ruin probabilities
actuarial models with investments
smoothness of ruin probabilities
stochastic volatility
regime switching
integro-differential equations for ruin probabilities
Online Access:https://www.mdpi.com/2227-7390/12/11/1705

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https://www.mdpi.com/2227-7390/12/11/1705

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