{
  "id": "2012.05083",
  "version": "v1",
  "published": "2020-12-09T14:33:27.000Z",
  "updated": "2020-12-09T14:33:27.000Z",
  "title": "On ruin probabilities with risky investments",
  "authors": [
    "Anastasiya Ellanskaya",
    "Yuri Kabanov"
  ],
  "comment": "10 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2020-12-09T14:33:27.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G44"
    ],
    "keywords": [
      "ruin probabilities",
      "risky investments",
      "non-life insurance businesses",
      "two-state markov process",
      "implicit renewal theory"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 10,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}