Ruin Probability in the Presence of Risky Investment by Insurance Capital

This paper researches the ruin probability with insurance capital investing in risky asset. Under the assumptions that the claim-arrival follows renewal process and the claimsize is of Pareto distribution, by using BlackScholes formula to re-express the surplus process, the asymptotic formulae of finite and infinite time ruin probability are derived. Relationship between ruin probability and renewal function is obtained. In addition to this, the connection between ruin probability and volatility coefficient is also derived. The results extend the corresponding conclusions of some references, such as Kluppelberg, Stadtmuller (1991) and Tang (2005).