第1回研究会

開催日：

2016年4月25日 (月)　16:00-17:15

会場：

丸の内永楽ビルディング18階 首都大学東京 丸の内サテライトキャンパス

報告者：

Prof. Yuri Kabanov (University of Franche-Comte)

タイトル：

Asymptotics of ruin probabilities with investments in a risky asset with price given by a geometric Levy process

概要Abstract

We obtain the exact asymptotic of the ruin probabilities for a process described by a linear stochastic differential equation defined by a pair of independent Levy processes. We consider the setting which is used to model the evolution of the capital reserve invested in a risky asset for the company selling the annuity insurance or for a venture company selling innovations. The approach is based on Goldie’s renewal theorems. We provide also conditions under which the ruin happens with probability one.