Seminario: Asymptotics of ruin probabilities with investments in a risky asset

Lunedì 11 Aprile 2016, ore 16:15 - Aula 1A150 - Yuri Kabanov


Lunedì 11 Aprile 2016 alle ore 16:15 in Aula 1A150, Yuri Kabanov (Université de Franche-Comté di Besançon) terrà un seminario dal titolo "Asymptotics of ruin probabilities with investments in a risky asset".
We obtain the exact asymptotic of the ruin probabilities for a process described by a linear stochastic differential equation defined by a pair of independent Lévy processes. We consider the setting which is used to model the evolution of the capital reserve invested in a risky asset for the company selling the annuity insurance or for a venture company selling innovations. The approach is based on Goldie's renewal theorems. We provide also conditions under which the ruin happens with probability one.