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

DOI10.1007/S10559-013-9509-0zbMATH Open1298.91095OpenAlexW2024084401MaRDI QIDQ465945FDOQ465945

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

Recommendations

• Ruin probabilities for an insurance company based on some stochastic risk models
• Estimates for non-ruin probability of insurance company in the discrete time model
• scientific article; zbMATH DE number 6122958
• Estimate for probability of ruin of insurance company for some insurance model
• Estimation of the probability of absolute ruin in a model of insurance company activities
• Application of statistical modelling methods for finding the non-ruin probability in the classical insurance model. II.
• Application of statistical modelling methods for finding the non-ruin probability in the classical insurance model. I.
• On differentiability of the non-ruin probability of an insurance company in models with constant interest rate
• Ruin probabilities for a risk model with two classes of claims
• scientific article; zbMATH DE number 2058901

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)

Cites Work

• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Optimum consumption and portfolio rules in a continuous-time model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the ruin probability of insurance company functioning on the \((B,S)\)-market

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
• Mathematical model of banking operation
• Some problems for Clark's model. II. A solution for Merton's portfolio problem
• The functioning of the insurance company with premiums, depending on the current capital. Modified Clark-Samuelson model

This page was built for publication: Some problems for Clark's model. I. Estimating the non-ruin probability for an insurance company

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q465945)