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.
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Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 59, No. 11, pp. 1443–1453, November, 2007.
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Androshchuk, M.O., Mishura, Y.S. Estimation of the ruin probability of an insurance company operating on a BS-market. Ukr Math J 59, 1617–1631 (2007). https://doi.org/10.1007/s11253-008-0015-x
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DOI: https://doi.org/10.1007/s11253-008-0015-x