Ruin probability via quantum mechanics approach

DOI10.1016/j.insmatheco.2017.12.009zbMath1401.91197OpenAlexW2779336417MaRDI QIDQ1742708

Muhsin Tamturk, Sergey Utev

Publication date: 12 April 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.12.009

zbMATH Keywords

path integralHamiltonianquantum mechanicsruin probabilityAppell polynomialscapital injection

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Probabilistic methods, stochastic differential equations (65C99)

Related Items

Ruin probabilities as functions of the roots of a polynomial, Optimal reinsurance via Dirac-Feynman approach, More for less insurance model: an alternative to (re)insurance

Cites Work

• Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
• An improved finite-time ruin probability formula and its \(Mathematica\) implementation.
• Recursive calculation of time to ruin distributions.
• On a class of quantum channels, open random walks and recurrence
• Ruin probabilities with a Markov chain interest model
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• Quantum Finance
• The probability of ruin in finite time with discrete claim size distribution
• The finite time ruin probability in a risk model with capital injections
• Space-Time Approach to Non-Relativistic Quantum Mechanics
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