ScholarLens Back to search
2009•Unpublished venueRequires access

Ruin Probability in the Presence of Risky Investment by Insurance Capital

Tao Jiang, Liyan Wen

Open publisher page 0 citations

Abstract

This paper researches the ruin probability with insurance capital investing in risky asset. Under the assumptions that the claim-arrival follows renewal process and the claimsize is of Pareto distribution, by using BlackScholes formula to re-express the surplus process, the asymptotic formulae of finite and infinite time ruin probability are derived. Relationship between ruin probability and renewal function is obtained. In addition to this, the connection between ruin probability and volatility coefficient is also derived. The results extend the corresponding conclusions of some references, such as Kluppelberg, Stadtmuller (1991) and Tang (2005).

About this research paper

What this paper is about

This paper researches the ruin probability with insurance capital investing in risky asset. Under the assumptions that the claim-arrival follows renewal process and the claimsize is of Pareto distribution, by using BlackScholes formula to re-express the surplus process, the asymptotic formulae of finite and infinite time ruin probability are derived. Relationship between ruin probability and renewal function is obtained. In addition to this, the connection between ruin probability and volatility coefficient is also derived. The results extend the corresponding conclusions of some references, such as Kluppelberg, Stadtmuller (1991) and Tang (2005).

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

This paper researches the ruin probability with insurance capital investing in risky asset. Under the assumptions that the claim-arrival follows renewal process and the claimsize is of Pareto distribution, by using BlackScholes formula to re-express the surplus process, the asymptotic formulae of finite and infinite time ruin probability are derived. Relationship between ruin probability and renewal function is obtained. In addition to this, the connection between ruin probability and volatility coefficient is also derived. The results extend the corresponding conclusions of some references, such as Kluppelberg, Stadtmuller (1991) and Tang (2005).

Key concepts: Ruin theory, Mathematics, Asset (computer security), Mathematical economics, First-hitting-time model, Probability distribution, Pareto principle, Life insurance

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Ruin Probability in the Presence of Risky Investment by Insurance Capital — Research Paper | ScholarLens