Another approach to the problem of the ruin probability estimate for risk process with investments
Vernadsky National Library of Ukraine
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
Another approach to the problem of the ruin probability estimate for risk process with investments
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| Creator |
Androshchuk, M.
Mishura, Y. |
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| Description |
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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| Date |
2009-11-24T15:21:32Z
2009-11-24T15:21:32Z 2007 |
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| Type |
Article
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| Identifier |
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.
0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4510 |
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| Language |
en
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| Publisher |
Інститут математики НАН України
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