Deriving the equation for the non-ruin probability of the insurance company in \((B,S)\)-market. Stochastic claims and stochastic premiums

DOI10.1007/s10559-014-9665-xzbMath1310.91075OpenAlexW1973886097MaRDI QIDQ2263346

B. V. Bondarev, Valery O. Boldyreva

Publication date: 18 March 2015

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-014-9665-x

zbMATH Keywords

Samuelson modeltransition probability densitynon-ruin probabilityItō equationstochastic premiums and claims

Mathematics Subject Classification ID

Related Items (1)

Ruin under stochastic dependence between premium and claim arrivals

Cites Work

• Equation for survival probability in a finite time interval in case of non-zero real interest force
• On the finite-time nonruin probability of an insurance company with investments in the financial \((B,S)\)-market
• Stochastic differential equations. An introduction with applications.
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