On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale

DOI10.1137/S0040585X97T989933zbMath1459.60100arXiv1806.11290OpenAlexW2810770713MaRDI QIDQ5120711

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Publication date: 16 September 2020

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.11290

zbMATH Keywords

ruin probability Lévy process investment semimartingale upper and lower estimates logarithmic asymptotic ruin with probability 1

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Credit risk (91G40)

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On distributions of exponential functionals of the processes with independent increments

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