Ruin models with investment income

Details Ruin models with investment income Ruin models with investment income

2008-06-25

arxiv.org/abs/0806.4125v2

Probability Surveys 2008, Vol. 5, No. 0, 416-434

Economy

Quantitative Finance

Risk Management

Published in at http://dx.doi.org/10.1214/08-PS134 the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of

Scientific paper

10.1214/08-PS134

This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant integro-differential equations, exact and numerical solutions, asymptotic results, bounds on the ruin probability and also the possibility of minimizing the ruin probability by investment and possibly reinsurance control. The main emphasis is on continuous time models, but discrete time models are also covered. A fairly extensive list of references is provided, particularly of papers published after 1998. For more references to papers published before that, the reader can consult [47].

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