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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| Date: | 2007 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
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Інститут математики НАН України
2007
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| Online Access: | https://nasplib.isofts.kiev.ua/handle/123456789/4510 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | 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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Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
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Androshchuk, M. Mishura, Y. 2009-11-24T15:21:32Z 2009-11-24T15:21:32Z 2007 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 https://nasplib.isofts.kiev.ua/handle/123456789/4510 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 Інститут математики НАН України Another approach to the problem of the ruin probability estimate for risk process with investments Article published earlier |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| title |
Another approach to the problem of the ruin probability estimate for risk process with investments |
| spellingShingle |
Another approach to the problem of the ruin probability estimate for risk process with investments Androshchuk, M. Mishura, Y. |
| 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 |
| author |
Androshchuk, M. Mishura, Y. |
| author_facet |
Androshchuk, M. Mishura, Y. |
| publishDate |
2007 |
| language |
English |
| publisher |
Інститут математики НАН України |
| format |
Article |
| 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.
|
| issn |
0321-3900 |
| url |
https://nasplib.isofts.kiev.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. |
| work_keys_str_mv |
AT androshchukm anotherapproachtotheproblemoftheruinprobabilityestimateforriskprocesswithinvestments AT mishuray anotherapproachtotheproblemoftheruinprobabilityestimateforriskprocesswithinvestments |
| first_indexed |
2025-12-07T18:25:36Z |
| last_indexed |
2025-12-07T18:25:36Z |
| _version_ |
1850874985325789184 |