Another approach to the problem of the ruin probability estimate for risk process with investments

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Фізико-технічні та математичні науки
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Відділення математики
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Theory of Stochastic Processes
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Theory of Stochastic Processes, 2007 (Volume 13 (29))
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Theory of Stochastic Processes, 2007, № 4
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Another approach to the problem of the ruin probability estimate for risk process with investments

URI: http://dspace.nbuv.gov.ua/handle/123456789/4510

Посилання: Another approach to the problem of the ruin probability estimate for risk process with investments / M. Androshchuk, Y. Mishura // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 1–18. — Бібліогр.: 8 назв.— англ.

Дата: 2007

Завантажень: 544

Another approach to the problem of the ruin probability estimate for risk process with investments

Анотація:

An exponential estimate of ruin probability for an insurance company which invests all its capital in risk assets is found. The process which describes the risky assets is assumed to follow a geometrical Brownian motion. Insurance premium ﬂow depends on the value of reserves of the insurance company. The problem is solved by reduction of the generalized risk process to the classical risk process without investments.

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