A Note on the Ruin Problem with Risky Investments

Details A Note on the Ruin Problem with Risky Investments A Note on the Ruin Problem with Risky Investments

2005-06-08

arxiv.org/abs/math/0506127v2

Mathematics

Probability

12 pages; Corrected typos and labels

Scientific paper

We reprove a result concerning certain ruin in the classical problem of the
probability of ruin with risky investments and several of it's generalisations.
We also provide the combined transition density of the risk and investment
processes in the diffusion case.

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