Risk theory in a stochastic economic environment (Q2368172)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Risk theory in a stochastic economic environment
scientific article

    Statements

    Risk theory in a stochastic economic environment (English)
    0 references
    0 references
    19 December 1993
    0 references
    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 \(R\).
    0 references
    stochastic rate of return on investments
    0 references
    stochastic level of inflation
    0 references
    investment risk
    0 references
    inequalities
    0 references
    stationary independent increments
    0 references
    ruin probability
    0 references
    characteristic function
    0 references
    Markov process
    0 references
    integro- differential equation
    0 references
    risk process
    0 references
    insurance company
    0 references
    surplus generating process
    0 references
    inflation generating process
    0 references
    return on investment generating process
    0 references
    semimartingales
    0 references
    one-dimensional stochastic differential equation
    0 references
    probability of eventual ruin
    0 references

    Identifiers