A capital growth process is well approximated by the Brownian motion with drift X t = u+
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A capital growth process is well approximated by the Brownian motion with drift Xt = u+ μt +σdwt from Section 2.3.2. The ruin probability for a certain choice of parameters occurs to be 1/16. How will this probability change if
(a) The parameter σ is doubled;
(b) The process Xt is multiplied by 2;
(c) The initial surplus is doubled ?
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a By virtue of 236 the ruin probability will b...View the full answer
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