Another approach to the problem of the ruin probability estimate for risk process with investments
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...
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| Дата: | 2007 |
|---|---|
| Автори: | , |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2007
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| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4510 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | 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. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
irk-123456789-4510 |
|---|---|
| record_format |
dspace |
| spelling |
irk-123456789-45102009-11-25T12:00:26Z Another approach to the problem of the ruin probability estimate for risk process with investments Androshchuk, M. Mishura, Y. 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. 2007 Article 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 en Інститут математики НАН України |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| language |
English |
| 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. |
| format |
Article |
| author |
Androshchuk, M. Mishura, Y. |
| spellingShingle |
Androshchuk, M. Mishura, Y. Another approach to the problem of the ruin probability estimate for risk process with investments |
| author_facet |
Androshchuk, M. Mishura, Y. |
| author_sort |
Androshchuk, M. |
| title |
Another approach to the problem of the ruin probability estimate for risk process with investments |
| title_short |
Another approach to the problem of the ruin probability estimate for risk process with investments |
| title_full |
Another approach to the problem of the ruin probability estimate for risk process with investments |
| title_fullStr |
Another approach to the problem of the ruin probability estimate for risk process with investments |
| title_full_unstemmed |
Another approach to the problem of the ruin probability estimate for risk process with investments |
| title_sort |
another approach to the problem of the ruin probability estimate for risk process with investments |
| publisher |
Інститут математики НАН України |
| publishDate |
2007 |
| url |
http://dspace.nbuv.gov.ua/handle/123456789/4510 |
| citation_txt |
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. |
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AT androshchukm anotherapproachtotheproblemoftheruinprobabilityestimateforriskprocesswithinvestments AT mishuray anotherapproachtotheproblemoftheruinprobabilityestimateforriskprocesswithinvestments |
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2023-03-24T08:30:28Z |
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2023-03-24T08:30:28Z |
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1796139188177862656 |