  We consider a generalization of the classical risk model when the premium
intensity depends on the current surplus of an insurance company. All surplus
is invested in the risky asset, the price of which follows a geometric Brownian
motion. We get an exponential bound for the infinite-horizon ruin probability.
To this end, we allow the surplus process to explode and investigate the
question concerning the probability of explosion of the surplus process between
claim arrivals.
