Ruin probabilities with investments in a risky asset with the price given by a geometric Lévy process
Seminar/Forum
We study the asymptotic of the ruin probability for a process which is the solution of linear SDE defined by a pair of independent Lévy processes. Our main interest is the model describing the evolution of the capital reserve of an insurance company selling annuities and investing in a risky asset. We show that the ruin probability admits the exact asymptotic as the initial capital tends to infinity. It is given by the strictly positive root of the cumulantgenerating function of the increment of log price process assuming only that such a root does exist.
Presenter

Yuri Kabanov , Besançon