Upper Bounds for Ruin Probabilities under Stochastic Interest Rate and Optimal Investment Strategies  

作　　者：Jin Zhu LI Rong WU 

机构地区：[1]School of Mathematical Sciences and LPMC,Nankai University

出　　处：《Acta Mathematica Sinica,English Series》2012年第7期1421-1430,共10页数学学报（英文版）

基　　金：Supported by National Basic Research Program of China (973 Program, Grant No. 2007CB814905);National Natural Science Foundation of China (Grant No. 10871102)

摘　　要：In this paper, we study the upper bounds for ruin probabilities of an insurance company which invests its wealth in a stock and a bond. We assume that the interest rate of the bond is stochastic and it is described by a Cox-Ingersoll-Ross （CIR） model. For the stock price process, we consider both the case of constant volatility （driven by an O U process） and the case of stochastic volatility （driven by a CIR model）. In each case, under certain conditions, we obtain the minimal upper bound for ruin probability as well as the corresponding optimal investment strategy by a pure probabilistic method.In this paper, we study the upper bounds for ruin probabilities of an insurance company which invests its wealth in a stock and a bond. We assume that the interest rate of the bond is stochastic and it is described by a Cox-Ingersoll-Ross （CIR） model. For the stock price process, we consider both the case of constant volatility （driven by an O U process） and the case of stochastic volatility （driven by a CIR model）. In each case, under certain conditions, we obtain the minimal upper bound for ruin probability as well as the corresponding optimal investment strategy by a pure probabilistic method.

关 键 词：Cox Ingersoll-Ross model jump-diffusion model optimal investment Ornstein Uhlen- beck （O-U） process ruin probability stochastic interest rate 

分 类 号：O211.6[理学—概率论与数理统计]