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

dc.contributor.author	Androshchuk, M.
dc.contributor.author	Mishura, Y.
dc.date.accessioned	2009-11-24T15:21:32Z
dc.date.available	2009-11-24T15:21:32Z
dc.date.issued	2007
dc.identifier.citation	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.	en_US
dc.identifier.issn	0321-3900
dc.identifier.uri	http://dspace.nbuv.gov.ua/handle/123456789/4510
dc.description.abstract	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.	en_US
dc.language	Інститут математики НАН України
dc.language.iso	en	en_US
dc.publisher	Інститут математики НАН України	en_US
dc.title	Another approach to the problem of the ruin probability estimate for risk process with investments	en_US
dc.type	Article	en_US
dc.status	published earlier	en_US