Another approach to the problem of the ruin probability estimate for risk process with investments

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dc.contributor.authorAndroshchuk, M.
dc.contributor.authorMishura, Y.
dc.date.accessioned2009-11-24T15:21:32Z
dc.date.available2009-11-24T15:21:32Z
dc.date.issued2007
dc.description.abstractAn exponential estimate of ruin probability for an insurance company which invests all its capital in risk assets is found. The process which describes the risky assets is assumed to follow a geometrical Brownian motion. Insurance premium flow depends on the value of reserves of the insurance company. The problem is solved by reduction of the generalized risk process to the classical risk process without investments.en_US
dc.identifier.citationAnother approach to the problem of the ruin probability estimate for risk process with investments / M. Androshchuk, Y. Mishura // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 1–18. — Бібліогр.: 8 назв.— англ.en_US
dc.identifier.issn0321-3900
dc.identifier.urihttps://nasplib.isofts.kiev.ua/handle/123456789/4510
dc.languageІнститут математики НАН України
dc.language.isoenen_US
dc.publisherІнститут математики НАН Україниen_US
dc.statuspublished earlieren_US
dc.titleAnother approach to the problem of the ruin probability estimate for risk process with investmentsen_US
dc.typeArticleen_US

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Theory of Stochastic Processes, 2007, № 4