Conditions for balance between survival and ruin

• Date: 2012
• Main Authors: Gusak, D. V., Гусак, Д. В.
• Format: Article
• Language: Ukrainian; English
• Published: Institute of Mathematics, NAS of Ukraine 2012
• Online Access: https://umj.imath.kiev.ua/index.php/umj/article/view/2633
• Journal Title: Ukrains’kyi Matematychnyi Zhurnal

Let $\xi_t$ be a classic risk process or a risk process with stochastic premiums. We establish conditions for balance between ruin and survival in the case of zero initial capital $u = 0$ (ruin probability $q_{+} = \psi(0) = 1/2$, survival probability $p_{+} = 1 — q_{+} = 1/2$) and determine premium...