Asymptotics of ruin probabilities for controlled risk processes in the small claims case

Christian Hipp

Scandinavian Actuarial Journal · 2004 · 68 citations · 16 references

Concepts

Abstract

We consider a risk process with the possibility of investment into a risky asset. The aim of the paper is to obtain the asymptotic behaviour of the ruin probability under the optimal investment strategy in the small claims case. In addition we prove convergence of the optimal investment level as the initial capital tends to infinity.

References

16