On ruin probabilities with risky investments

Anastasiya Ellanskaya, Yuri Kabanov

Published 2020-12-09Version 1

We investigate the asymptotic of ruin probabilities when the company combines the life- and non-life insurance businesses and invests its reserve into a risky asset with stochastic volatility and drift driven by a two-state Markov process. Using the technique of the implicit renewal theory we obtain the rate of convergence to zero of the ruin probabilities.