Risk theory in a stochastic economic environment (Q2368172)

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Risk theory in a stochastic economic environment
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    Risk theory in a stochastic economic environment (English)
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    19 December 1993
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    The author introduces a rather general stochastic model for the risk process \(Y\) of an insurance company. The surplus generating process \(P\) (premiums minus claims), the inflation generating process \(I\) and the return on investment generating process \(R\) are assumed to be semimartingales. \(Y\) is given as the solution of a one-dimensional stochastic differential equation involving \(P\), \(I\) and \(R\). In the second part, the author discusses the problem of computing the probability of eventual ruin under more restrictive assumptions on \(P\), \(I\) and \(R\).
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    stochastic rate of return on investments
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    stochastic level of inflation
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    investment risk
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    inequalities
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    stationary independent increments
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    ruin probability
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    characteristic function
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    Markov process
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    integro- differential equation
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    risk process
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    insurance company
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    surplus generating process
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    inflation generating process
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    return on investment generating process
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    semimartingales
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    one-dimensional stochastic differential equation
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    probability of eventual ruin
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