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

Mohamed BadaouiBegoña Fernández — 2011

ESAIM: Proceedings

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...

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