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《Chinese Journal of Applied Probability and Statistics》 2006-02
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Explicit Asymptotics for the Ruin Probability with Risky Investment Included

CHEN YIQING (Department of Statistics and Actuarial Science, The University of Hong Kong, Hong Kong) DONG XIAOJU XIE XIANGSHENG (School of Economics and Management, Guangdong University of Technology, Guangzhou, 510090)  
In this paper, we investigate the ruin probability of a discrete-time risk model, in which the surplus of an insurance business is currently invested into a risky asset. Using a purely probabilistic treatment, we establish explicit asymptotic relations for the infinite-time ruin probabilities, hence we extend a recent result of Tang and Tsitsiashvili (2003) to the infinite-time case.
【Fund】: This work was supported by the Guangdong Natural Science Foundation(Project No.980415)
【CateGory Index】: F224
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Chinese Journal Full-text Database 1 Hits
1 YANG Hai-zhong (Department of Applied Mathematics, Northwestern Polytechnical University, Xi’an 710072, P.R.C.);Some asymptotic results for sums of dependent random variables[J];Journal of Southwest University for Nationalities(Natural Science Edition);2006-03
Chinese Journal Full-text Database 1 Hits
1 Cheng Shixue(Information School, Renmin University of China, Beijing, 100872, P. R. China);The Survey for Researches of Ruin Theory[J];Advances In Mathematics;2002-05
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