Ruin probability for risky investment of insurance capital

This paper researches the ruin probability of investing in risky asset by insurance capital. Under the assumptions that the claim-arrival process follows renewal process,and the claimsize is of Pareto distribution,by using Black-Scholes formula to re-express surplus process,an asymptotic for- mula of finite and infinite time ruin probability is obtained.Relationship between ruin probability and renewal function is derived.In addition,the connection between ruin probability and volatility coefficient is also obtained.The results extend the corresponding conclusions of Kluppelberg's,and Tang's.