Ruin probability via quantum mechanics approach

DOI10.1016/J.INSMATHECO.2017.12.009MaRDI QIDQ1742708zbMATH OpenOpenAlexFDO

Authors Muhsin Tamturk, Sergey Utev

Publication date 12 April 2018

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2017.12.009

zbMATH Keywords

Appell polynomialscapital injectionHamiltonianpath integralquantum mechanicsruin probability

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• An improved finite-time ruin probability formula and its \(Mathematica\) implementation.
• Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
• Fundamentals of actuarial mathematics
• scientific article; zbMATH DE number 2130681 (Why is no real title available?)
• scientific article; zbMATH DE number 53766 (Why is no real title available?)
• Mathematical structures of quantum mechanics.
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• On a class of quantum channels, open random walks and recurrence
• Quantum Finance
• Recursive calculation of time to ruin distributions.
• Ruin probabilities
• Ruin probabilities with a Markov chain interest model
• Space-time approach to non-relativistic quantum mechanics
• The finite time ruin probability in a risk model with capital injections
• The probability of ruin in finite time with discrete claim size distribution

Cited in

(3)

• More for less insurance model: an alternative to (re)insurance
• Optimal reinsurance via Dirac-Feynman approach
• Ruin probabilities as functions of the roots of a polynomial

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