A Note on the Ruin Problem with Risky Investments

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We reprove a result concerning certain ruin in the classical problem of the probability of ruin with risky investments and several of it's generalisations. We also provide the combined transition density of the risk and investment processes in the diffusion case.
12 pages; Corrected typos and labels

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Probability, Risk Management, 62P05; 43A80

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http://salesiana.dossiersoluciones.com/handle/123456789/208908

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0506127
 http://arxiv.org/abs/math/0506127

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arXiv