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Ruin probabilities for a Sparre Andersen model with investments

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  • Eberlein, Ernst
  • Kabanov, Yuri
  • Schmidt, Thorsten

Abstract

We study a Sparre Andersen model in which the business activity of the company is described by a compound renewal process with drift assuming that the capital reserves are invested in a risky asset. The price of the latter is assumed to evolve according to a geometric Lévy process. We prove that the asymptotic behavior of the ruin probability depends to a large extent only on the properties of the price process.

Suggested Citation

  • Eberlein, Ernst & Kabanov, Yuri & Schmidt, Thorsten, 2022. "Ruin probabilities for a Sparre Andersen model with investments," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 72-84.
    • Handle: RePEc:eee:spapps:v:144:y:2022:i:c:p:72-84
    DOI: 10.1016/j.spa.2021.10.011
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    References listed on IDEAS

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    1. Anna Frolova & Serguei Pergamenshchikov & Yuri Kabanov, 2002. "In the insurance business risky investments are dangerous," Finance and Stochastics, Springer, vol. 6(2), pages 227-235.
    2. Paulsen, Jostein, 1998. "Sharp conditions for certain ruin in a risk process with stochastic return on investments," Stochastic Processes and their Applications, Elsevier, vol. 75(1), pages 135-148, June.
    3. Albrecher, Hansjoerg & Constantinescu, Corina & Thomann, Enrique, 2012. "Asymptotic results for renewal risk models with risky investments," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3767-3789.
    4. Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151, January.
    5. Yuri Kabanov & Serguei Pergamenshchikov, 2020. "Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process," Finance and Stochastics, Springer, vol. 24(1), pages 39-69, January.
    6. Paulsen, Jostein, 1993. "Risk theory in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 46(2), pages 327-361, June.
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    Cited by:

    1. Yuri Kabanov & Platon Promyslov, 2023. "Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments," Finance and Stochastics, Springer, vol. 27(4), pages 887-902, October.
    2. Yuri Kabanov & Sergey Pergamenshchikov, 2022. "On ruin probabilities with investments in a risky asset with a regime-switching price," Finance and Stochastics, Springer, vol. 26(4), pages 877-897, October.

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