Copyright © 2012 Yong Wu and Xiang Hu. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

We consider that the surplus of an insurer follows compound Poisson process and the insurer would invest its surplus in risky assets, whose prices satisfy the Black-Scholes model. In the risk process, we decompose the ruin probability into the sum of two ruin probabilities which are caused by the claim and the oscillation, respectively. We derive the integro-differential equations for these ruin probabilities these ruin probabilities. When the claim sizes are exponentially distributed, third-order differential equations of the ruin probabilities are derived from the integro-differential equations and a lower bound is obtained.