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Upper bound for finite-time ruin probability in a Markov-modulated market

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Abstract

This paper studies the upper bound for finite-time ruin probability of an insurance company which invests its wealth in a stock and a bond. The authors assume that the interest rate of the bond and the volatility of the stock are modulated by a continuous-time stationary Markov chain with finite state. By a pure probabilistic method, the upper bound for the finite-time ruin probability is obtained.

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Authors and Affiliations

  1. School of Mathematical Sciences and LPMC, Nankai University, Tianjin, 300071, China

    Jinzhu Li & Rong Wu

Authors
  1. Jinzhu Li
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  2. Rong Wu
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Correspondence to Jinzhu Li.

Additional information

This research is supported by the National Basic Research Program of China (973 Program) under Grant No. 2007CB814905.

This paper was recommended for publication by Editor Guohua ZOU.

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Li, J., Wu, R. Upper bound for finite-time ruin probability in a Markov-modulated market. J Syst Sci Complex 24, 308–316 (2011). https://doi.org/10.1007/s11424-010-8348-6

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  • DOI: https://doi.org/10.1007/s11424-010-8348-6

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