28-31 août 2018
Angers - France
Fuseau horaire Europe/Paris

On the Ruin Problem with Investment when the Risky Asset is a Semimartingale

31 août 2018 à 11:50
Angers - France

Angers - France


Jerome Spielmann (Universite d'Angers)


In this talk, we study the ruin problem with investment in a general framework where the business part X is a Lévy process and the return on investment R is a semimartingale. We obtain upper bounds on the finite and infinite time ruin probabilities that decrease as a power function when the initial capital increases. When R is a Lévy process, we retrieve the well-known results. Then, we show that these bounds are asymptotically optimal in the finite time case, under some simple conditions on the characteristics of X. Finally, we obtain a condition for ruin with probability one when X is a Brownian motion with negative drift and express it explicitly using the characteristics of R. (The results were obtained as a joint work with L. Vostrikova.)

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