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Ruin probability for L関y risk process compounded by geometric Brownian motion |
| ZHAO Xianghua, YIN Chuancun |
| Department of Mathematics, Qufu Normal University, Qufu 273165, China |
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Abstract In this paper, we assume that the surplus of an insurer follows a L暍y risk process and the insurer would invest its surplus in a risky asset, whose prices are modeled by a geometric Brownian motion. It is shown that the ruin probabilities (by a jump or by oscillation) of the resulting surplus process satisfy certain integro-differential equations.
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Issue Date: 05 June 2007
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