A Study Of Ruin Theory With Compounding Assets

Fillip Lundderg, a Swedish actuary initiated the study of ruin theory in 1903. The probability of ruin is the tool to measure the ultimate risk of insurance company. Compare with other tools which built on the hypothesis of normal distributing, ruin theory is more reasonable. Because the distributing of insurance agency is heavy tailed.This paper reviews the classical ruin theory at first. Then we educe the ruin theory with compounding assets and extend this theory . In this paper we also discusses the relationship of ruin time and ruin probability. Seeking out the numerical value of ruin probability is an important part of this article, too. An example is given after all these parts. At last we do some discussion of the safety of investment of insurance agency.There are some innovations in this article.1, We educe the ruin theory with compounding assets and extend this theory. We also find out some characters of the return on investment process.2, Random simulation is used to analyses the ruin model and prove the correlation of the ruin probability and the ruin time.3, After the study of ruin theory, there are some advice about the safety and the mode of investment given out.Insurance investment theory is very important on both theory and practice. This article does some study on ruin theory with compounding assets. Hopefully this paper can contribute on insurance risk control through offering a simpler method and a more mature theory.