Fan, Shimao; Xiong, Sheng; Yang, Wei-Shih - arXiv.org - 2010
In this paper, we discuss the Cram\'er-Lundberg model with investments, where the price of the invested risk asset follows a geometric Brownian motion with drift $a$ and volatility $\sigma 0.$ By assuming there is a cap on the claim sizes, we prove that the probability of ruin has at least an...