Groupe d’études et de recherche en analyse des décisions

Asymptotic Ruin Probabilities in the Presence of Stochastic Returns on Investments

Qihe Tang

This talk gives a brief introduction to some of recent works on the ruin probabilities when an insurer is exposed in a stochastic economic environment. In this environment the wealth is currently invested into a risk-free asset and/or a risky asset, hence negative return on investments may be earned. Under the assumption that the insurance risk -the total net loss within one time period - is regularly or rapidly varying tailed, various precise estimates for the ruin probabilities are presented.