- Tytuł:
- Ruin probability in a risk model with variable premium intensity and risky investments
- Autorzy:
-
Mishura, Y.
Perestyuk, M.
Ragulina, O. - Powiązania:
- https://bibliotekanauki.pl/articles/254807.pdf
- Data publikacji:
- 2015
- Wydawca:
- Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
- Tematy:
-
risk process
infinite-horizon ruin probability
variable premium intensity
risky investments
exponential bound
stochastic differential equation
explosion time
existence and uniqueness theorem
supermartingale property - Opis:
- 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 for the 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.
- Źródło:
-
Opuscula Mathematica; 2015, 35, 3; 333-352
1232-9274
2300-6919 - Pojawia się w:
- Opuscula Mathematica
- Dostawca treści:
- Biblioteka Nauki
Artykuł