On ruin probabilities with investments in a risky asset with a switching regime price
arXiv:2110.08784
Abstract
We investigate the asymptotic of ruin probabilities when the company invests its reserve in a risky asset with a switching regime price. We assume that the asset price is a conditional geometric Brownian motion with parameters modulated by a Markov process with a finite number of states. Using the technique of the implicit renewal theory we obtain the rate of convergence to zero of the ruin probabilities as the initial capital tends to infinity.
15 pages. arXiv admin note: text overlap with arXiv:2012.05083