Upper Bounds for Ruin Probabilities under Stochastic Interest Rate and Optimal Investment Strategies

被引：2

作者：

Li, Jin Zhu ^{[1
]}

Wu, Rong

机构：

[1] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

来源：

ACTA MATHEMATICA SINICA-ENGLISH SERIES | 2012年 / 28卷 / 07期

基金：

中国国家自然科学基金;

关键词：

Cox-Ingersoll-Ross model; jump-diffusion model; optimal investment; Ornstein-Uhlenbeck (O-U) process; ruin probability; stochastic interest rate; RISK PROCESS;

D O I：

10.1007/s10114-012-0153-9

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we study the upper bounds for ruin probabilities of an insurance company which invests its wealth in a stock and a bond. We assume that the interest rate of the bond is stochastic and it is described by a Cox-Ingersoll-Ross (CIR) model. For the stock price process, we consider both the case of constant volatility (driven by an O-U process) and the case of stochastic volatility (driven by a CIR. model). In each case, under certain conditions, we obtain the minimal upper bound for ruin probability as well as the corresponding optimal investment strategy by a pure probabilistic method.

引用

页码：1421 / 1430

页数：10

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[1] Upper Bounds for Ruin Probabilities under Stochastic Interest Rate and Optimal Investment Strategies
Jin Zhu LI
Rong WU
[J]. Acta Mathematica Sinica,English Series, 2012, (07) : 1421 - 1430
[2] Upper Bounds for Ruin Probabilities under Stochastic Interest Rate and Optimal Investment Strategies
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Rong WU
[J]. Acta Mathematica Sinica, 2012, 28 (07) - 1430
[3] Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies
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