论文标题
关于有风险投资的破坏概率
On ruin probabilities with risky investments
论文作者
论文摘要
当公司将寿险和非生活保险业务公司结合在一起时，我们调查了毁灭概率的渐近概率，并将其储备投资于具有随机波动性的风险资产，并由两国马尔可夫流程驱动。使用隐式更新理论的技术，我们获得了与废墟概率零的收敛速率。
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.
