Abstract
We study the problem of evaluation of the probability of ruin of an insurance company for infinitely many steps in the case where the company can invest its capital to bank deposits at any time. As a distribution of the amounts of claims to the insurance company, we use the gamma-distribution with the parameters n and α.
Similar content being viewed by others
References
A. V. Mel’nikov, Risk Management: Stochastic Analysis of Risks in the Financial Economics and Insurance [in Russian], Ankil, Moscow (2001).
A. V. Mel’nikov, S. N. Volkov, and M. L. Nechaev, Mathematics of Financial Obligations [in Russian], GU VShÉ, Moscow (2001).
J. E. Fjelstad, “On certain linear functional differential equations with constant coefficients,” Arch. Math. Naturvid., 50, 1–64 (1949).
Author information
Authors and Affiliations
Additional information
__________
Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 59, No. 4, pp. 447–457, April, 2007.
Rights and permissions
About this article
Cite this article
Bondarev, B.V., Zhmykhova, T.V. Evaluation of the probability of bankruptcy for a model of insurance company. Ukr Math J 59, 500–512 (2007). https://doi.org/10.1007/s11253-007-0031-2
Received:
Issue Date:
DOI: https://doi.org/10.1007/s11253-007-0031-2