Ruin probability in a risk model with variable premium intensity and risky investments

• Autorzy: Mishura Y. , Perestyuk M. , Ragulina O.

Identyfikatory

DOI

http://dx.doi.Org/10.7494/OpMath.2015.35.3.333

• Języki publikacji: EN

Abstrakty

EN

We consider a generalization of the classical risk model when the premium inten­sity depends on the current surplus of an insurance company. All surplus is invested in the risky asset, the price of which follows a geometric Brownian motion. We get an exponential bound for the infinite-horizon ruin probability. To this end, we allow the surplus process to explode and investigate the question concerning the probability of explosion of the surplus process between claim arrivals.

Słowa kluczowe

EN

risk process; infinite-horizon ruin probability; variable premium intensity; risky investments; exponential bound; stochastic differential equation; explosion time; existence and uniqueness theorem; supermartingale property

• Wydawca: AGH University of Science and Technology Press
• Czasopismo: Opuscula Mathematica
• Rocznik: 2015
• Tom: Vol. 35, no. 3
• Strony: 333--352
• Opis fizyczny: Bibliogr. 22 poz.

Twórcy

autor

Mishura Y.

• Taras Shevchenko National University of Kyiv Department of Probability Theory, Statistics and Actuarial Mathematics 64 Volodymyrska, 01601 Kyiv, Ukraine

autor

Perestyuk M.

• Taras Shevchenko National University of Kyiv Department of Probability Theory, Statistics and Actuarial Mathematics 64 Volodymyrska, 01601 Kyiv, Ukraine

autor

Ragulina O.

• Taras Shevchenko National University of Kyiv Department of Probability Theory, Statistics and Actuarial Mathematics 64 Volodymyrska, 01601 Kyiv, Ukraine

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