TY  - JOUR
ID  - Mishura2015
LB  - Mishura2015
AU  - Mishura, Yuliya
AU  - Perestyuk, Mykola
AU  - Ragulina, Olena
TI  - Ruin probability in a risk model with variable premium intensity and risky investments
ST  - Ruin probability in a risk model with variable premium intensity and risky investments
JO  - Opuscula Math.
JA  - Opuscula Math.
JF  - Opuscula Mathematica
PY  - 2015
VL  - 35
IS  - 3
SP  - 333
EP  - 352
DO  - http://dx.doi.org/10.7494/OpMath.2015.35.3.333
UR  - http://dx.doi.org/10.7494/OpMath.2015.35.3.333
AB  - We consider a generalization of the classical risk model when the premium intensity depends on the current surplus of an insurance company. All surplus is invested in the risky asset, the price of which follows a geometric Brownian motion. We get an exponential bound for the infinite-horizon ruin probability. To this end, we allow the surplus process to explode and investigate the question concerning the probability of explosion of the surplus process between claim arrivals.
KW  - risk process
KW  - infinite-horizon ruin probability
KW  - variable premium intensity
KW  - risky investments
KW  - exponential bound
KW  - stochastic differential equation
KW  - explosion time
KW  - existence and uniqueness theorem
KW  - supermartingale property
SN  - 1232-9274
ER  -