Bounds of Ruin Probabilities for Insurance Companies in the Presence of Stochastic Volatility on Investments⋆⋆⋆

Badaoui, Mohamed, and Fernández, Begoña. Emilia Caballero, Ma., et al, eds. "Bounds of Ruin Probabilities for Insurance Companies in the Presence of Stochastic Volatility on Investments⋆⋆⋆." ESAIM: Proceedings 31 (2011): 40-54. <http://eudml.org/doc/251245>.

@article{Badaoui2011,
abstract = {In this work we consider a model of an insurance company where the insurer has to face a claims process which follows a Compound Poisson process with finite exponential moments. The insurer is allowed to invest in a bank account and in a risky asset described by Geometric Brownian motion with stochastic volatility that depends on an external factor modelled as a diffusion process. By using exponential martingale techniques we obtain upper and lower bounds for the ruin probabilities, that recover the known bounds for constant volatility models. Finally we apply the results to a truncated Scott model.},
author = {Badaoui, Mohamed, Fernández, Begoña},
editor = {Emilia Caballero, Ma., Chaumont, Loïc, Hernández-Hernández, Daniel, Rivero, Víctor},
journal = {ESAIM: Proceedings},
keywords = {compound Poisson process; stochastic volatility; ruin probability},
language = {eng},
month = {3},
pages = {40-54},
publisher = {EDP Sciences},
title = {Bounds of Ruin Probabilities for Insurance Companies in the Presence of Stochastic Volatility on Investments⋆⋆⋆},
url = {http://eudml.org/doc/251245},
volume = {31},
year = {2011},
}

TY - JOUR
AU - Badaoui, Mohamed
AU - Fernández, Begoña
AU - Emilia Caballero, Ma.
AU - Chaumont, Loïc
AU - Hernández-Hernández, Daniel
AU - Rivero, Víctor
TI - Bounds of Ruin Probabilities for Insurance Companies in the Presence of Stochastic Volatility on Investments⋆⋆⋆
JO - ESAIM: Proceedings
DA - 2011/3//
PB - EDP Sciences
VL - 31
SP - 40
EP - 54
AB - In this work we consider a model of an insurance company where the insurer has to face a claims process which follows a Compound Poisson process with finite exponential moments. The insurer is allowed to invest in a bank account and in a risky asset described by Geometric Brownian motion with stochastic volatility that depends on an external factor modelled as a diffusion process. By using exponential martingale techniques we obtain upper and lower bounds for the ruin probabilities, that recover the known bounds for constant volatility models. Finally we apply the results to a truncated Scott model.
LA - eng
KW - compound Poisson process; stochastic volatility; ruin probability
UR - http://eudml.org/doc/251245
ER -