Discrete-Time Insurance Models

被引：1
|
作者：
Bulinskaya, E. V. [1 ]
机构：
[1] Lomonosov Moscow State Univ, Fac Mech & Math, Chair Probabil Theory, Moscow, Russia
来源：
MOSCOW UNIVERSITY MATHEMATICS BULLETIN | 2023年 / 78卷 / 06期
关键词：
discrete-time insurance models; optimal control; stability with respect to small fluctuation of parameters and perturbation of random variables distributions describing the model; ruin probability; stochastic orders; DUAL RISK MODEL; RUIN;
D O I：
10.3103/S0027132223060025
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Two discrete-time insurance models are considered. The first model studies nonproportional reinsurance and bank loans. For this model, we establish the optimal control and stability to small fluctuation of parameters and perturbation of random variables distributions describing the model. The second model is dual and the ruin probabilities are compared under assumption that the gains distributions satisfy one of four partial orders.
引用
收藏
页码：298 / 308
页数：11
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