Some problems for Clark's model. I. Estimating the non-ruin probability for an insurance company

DOI10.1007/S10559-013-9509-0MaRDI QIDQ465945zbMATH OpenOpenAlexFDO

Authors B. V. Bondarev, O. E. Sosnytskyy

Publication date 24 October 2014

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10559-013-9509-0

zbMATH Keywords

non-ruin probability(B,S)-marketarbitrage-free propertystochastic integral with respect to Poisson measure

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 4176128 (Why is no real title available?)
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• scientific article; zbMATH DE number 3272009 (Why is no real title available?)
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• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• On the ruin probability of insurance company functioning on the \((B,S)\)-market
• Optimum consumption and portfolio rules in a continuous-time model

Cited in

(5)

• The optimal control of the consumer fund with the functions of the insurance company under assumption of the work on the financial market with the advertising strategy
• Application of the Kolmogorov-Hájek-Rényi inequality for estimation of the non-ruin probability of an insurance company working in the \((B,S)\)-market
• Some problems for Clark's model. II. A solution for Merton's portfolio problem
• Mathematical model of banking operation
• The functioning of the insurance company with premiums, depending on the current capital. Modified Clark-Samuelson model

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