Abstract
The ruin probability of an insurer is studied for the classical CramérâLundberg model with finite exponential moments. The nonclassical property of the model considered in the paper is the possibility to invest in two different risky assets (which may be dependent) whose price processes are either described by geometric Brownian motions or are semimartingales with absolutely continuous characteristics with respect to Lebesgue measure. We study the ruin probability for the case where a free credit is not available in the money market and where the insurer can invest in a finite number of risky assets whose price processes are described by jointly independent Brownian motions.
Published Version (
Free)
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call