Estimation of the ruin probability of an insurance company operating on a BS-market
Abstract
We obtain an estimate for the ruin probability of an insurance company that invests a part of its capital in stocks and puts the rest of the capital in a bank account. An insurance premium is established depending on the capital of the insurance company.
English version (Springer): Ukrainian Mathematical Journal 59 (2007), no. 11, pp 1617-1631.
Citation Example: Androshchuk M. O., Mishura Yu. S. Estimation of the ruin probability of an insurance company operating on a BS-market // Ukr. Mat. Zh. - 2007. - 59, № 11. - pp. 1443–1453.
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