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ЖУРНАЛЫ // Theory of Stochastic Processes // Архив

Theory Stoch. Process., 2007, том 13(29), выпуск 4, страницы 1–18 (Mi thsp232)

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

Maryna Androshchuk, Yuliya Mishura

Department of Probability Theory and Mathematical Statistics, Kyiv National Taras Shevchenko University, Kyiv, Ukraine

Аннотация: 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.

Ключевые слова: Ruin process, ruin probability, geometrical Brownian motion, supermartingale approach.

MSC: 91B30

Язык публикации: английский



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