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arxiv: 1309.7621 · v1 · pith:MHMDYGMFnew · submitted 2013-09-29 · 🧮 math.PR

Gaussian risk models with financial constraints

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keywords modelsgaussianriskfinancialinflationinterestratesruin
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In this paper we investigate Gaussian risk models which include financial elements such as inflation and interest rates. For some general models for inflation and interest rates, we obtain an asymptotic expansion of the finite-time ruin probability for Gaussian risk models. Furthermore, we derive an approximation of the conditional ruin time by an exponential random variable as the initial capital tends to infinity.

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