RUIN PROBABILITY IN A RISK MODEL WITH VARIABLE PREMIUM INTENSITY AND RISKY INVESTMENTS

被引：1

作者：

Mishura, Yuliya ^{[1
]}

Perestyuk, Mykola ^{[1
]}

Ragulina, Olena ^{[1
]}

机构：

[1] Taras Shevchenko Natl Univ Kyiv, Dept Probabil Theory Stat & Actuarial Math, UA-01601 Kiev, Ukraine

来源：

OPUSCULA MATHEMATICA | 2015年 / 35卷 / 03期

关键词：

risk process; infinite-horizon ruin probability; variable premium intensity; risky investments; exponential bound; stochastic differential equation; explosion time; existence and uniqueness theorem; supermartingale property;

D O I：

10.7494/OpMath.2015.35.3.333

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider a generalization of the classical risk model when the premium intensity depends on the current surplus of an insurance company. All surplus is invested in the risky asset, the price of which follows a geometric Brownian motion. We get an exponential bound for the infinite-horizon ruin probability. To this end, we allow the surplus process to explode and investigate the question concerning the probability of explosion of the surplus process between claim arrivals.

引用

页码：333 / 352

页数：20

共 33 条

[21] Differential equations for ruin probability in a special risk model with FGM copula for the claim size and the inter-claim time
Yong, Wu
Xiang, Hu
JOURNAL OF INEQUALITIES AND APPLICATIONS, 2012,
[22] Upper Bounds and Explicit Formulas for the Ruin Probability in the Risk Model with Stochastic Premiums and a Multi-Layer Dividend Strategy
Ragulina, Olena
Siaulys, Jonas
MATHEMATICS, 2020, 8 (11) : 1 - 35
[23] Differential equations for ruin probability in a special risk model with FGM copula for the claim size and the inter-claim time
Wu Yong
Hu Xiang
Journal of Inequalities and Applications, 2012
[24] Distribution of Deficit at Ruin for a PDMP Insurance Risk Model
Guo-jing Wang
Acta Mathematicae Applicatae Sinica(English Series), 2003, (03) : 521 - 528
[25] UPER AND LOWER BOUNDS FOR A FINITE-TYPE RUIN PROBABILITY IN A NONHOMOGENEOUS RISK PROCESS
Raducan, Anisoara Maria
Vernic, Raluca
Zbaganu, Gheorghita
PROCEEDINGS OF THE ROMANIAN ACADEMY SERIES A-MATHEMATICS PHYSICS TECHNICAL SCIENCES INFORMATION SCIENCE, 2016, 17 (04): : 287 - 292
[26] Distribution of deficit at ruin for a PDMP insurance risk model
Guo-jing Wang
Su-ping Qian
Rong Wu
Acta Mathematicae Applicatae Sinica, English Series, 2003, 19 (3): : 521 - 528
[27] Exponential bounds for ruin probability in two moving average risk models with constant interest rate
Yao, Ding Jun
Wang, Rong Ming
ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2008, 24 (02) : 319 - 328
[28] Exponential bounds for ruin probability in two moving average risk models with constant interest rate
Ding Jun Yao
Rong Ming Wang
Acta Mathematica Sinica, English Series, 2008, 24 : 319 - 328
[29] Exponential Bounds for Ruin Probability in Two Moving Average Risk Models with Constant Interest Rate
Ding Jun YAO Rong Ming WANG Department of Statistics
ActaMathematicaSinica(EnglishSeries), 2008, 24 (02) : 319 - 328
[30] Stochastic calculus in a risk model with stochastic return on investments
Elghribi, Moncef
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2021, 93 (01) : 110 - 129

← 1 2 3 4 →