scientific article; zbMATH DE number 5592532

MaRDI QIDQ5325320zbMATH OpenFDO

Authors M. V. Bratyk

Publication date 8 August 2009

Full work available at URL http://www.ams.org/tpms/2008-77-00/S0094-9000-08-00743-6/home.html

zbMATH Keywords

Cramér-Lundberg modelgeometric Brownian motion

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(14)

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• Ruin probability for a portfolio including options
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• Ruin probability in the presence of risky investments
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• Probability of ruin of an insurance company at a given rate of investments in risk assets
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