Skip to main content
Log in

Estimation of the ruin probability of an insurance company operating on a BS-market

  • Published:
Ukrainian Mathematical Journal Aims and scope

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.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  1. S. Asmussen, Ruin Probabilities, World Scientific, Singapore (2001).

    Google Scholar 

  2. J. Gaier, P. Grandits, and W. Schachermayer, “Asymptotic ruin probabilities and optimal investment,” Ann. Appl. Probab., 13, 1054–1076 (2003).

    Article  MATH  MathSciNet  Google Scholar 

  3. Yu. S. Mishura, “Estimation of ruin probabilities for models with long-term dependence,” Teor. Imovir. Mat. Statist., 72, 93–100 (2005).

    MATH  Google Scholar 

  4. A. V. Baev and B. V. Bondarev, “On the ruin probability of an insurance company operating on a BS-market,” Teor. Imovir. Mat. Statist., 74, 10–22 (2006).

    MATH  Google Scholar 

  5. J. Grandell, Aspects of Risk Theory, Springer, Berlin (1990).

    Google Scholar 

  6. P. E. Protter, Stochastic Integration and Differential Equations, Springer, Berlin (2004).

    MATH  Google Scholar 

  7. R. Sh. Liptser and A. N. Shiryaev, Statistics of Random Processes [in Russian], Nauka, Moscow (1974).

    Google Scholar 

  8. R. J. Elliott, Stochastic Calculus and Applications, Springer, New York (1982).

    MATH  Google Scholar 

  9. T. Kiffe, “A discontinuous Volterra integral equation,” J. Integr. Equat., 1, 193–200 (1979).

    MATH  MathSciNet  Google Scholar 

  10. J. Jacod, Calcul Stochastique et Problèmes de Martingales, Springer, Berlin (1979).

    MATH  Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Additional information

__________

Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 59, No. 11, pp. 1443–1453, November, 2007.

Rights and permissions

Reprints and permissions

About this article

Cite this article

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

Download citation

  • Received:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s11253-008-0015-x

Keywords

Navigation