Ruin probability in a risk model with variable premium intensity and risky investments | Zendy

Yuliya Mishura | Zendy; Mykola Perestyuk | Zendy; Olena Ragulina | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Open Access

Ruin probability in a risk model with variable premium intensity and risky investments

Author(s) -

Yuliya Mishura,

Mykola Perestyuk,

Olena Ragulina

Publication year - 2014

Publication title -

opuscula mathematica

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.481

H-Index - 16

eISSN - 2300-6919

pISSN - 1232-9274

DOI - 10.7494/opmath.2015.35.3.333

Subject(s) - mathematics , variable (mathematics) , risk model , intensity (physics) , econometrics , actuarial science , statistics , economics , mathematical analysis , physics , quantum mechanics

We consider a generalization of the classical risk model when the premium intensity depends on the current surplus of an insurance company. All surplus is invested in the risky asset, the price of which follows a geometric Brownian motion. We get an exponential bound forthe infinite-horizon ruin probability. To this end, we allow the surplus process to explode and investigate the question concerning the probability of explosion of the surplus process between claim arrivals

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research