A theory of risk, return and solvency

DOI10.1016/0167-6687(95)00006-EzbMath0836.62094WikidataQ56763796 ScholiaQ56763796MaRDI QIDQ1904990

Michael R. Powers

Publication date: 15 January 1996

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

zbMATH Keywords

diffusion processesrate of returnprobability of ruinsolvency regulationprice regulationexpected discounted cost of insolvencyinsurer net worthoptimal loss-to-net worth ratiooptimal rate of return

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites Work

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• Ruin problems with compounding assets
• Stochastic differential equations for compounded risk reserves
• Weak convergence of assets processes with stochastic interest return
• On the probability of ruin of risk processes approximated by a diffusion process
• Diffusion approximations for a risk process with the possibility of borrowing and investment
• Diffusion approximations in collective risk theory
• The First Passage Problem for a Continuous Markov Process