Some problems for Clark's model. I. Estimating the non-ruin probability for an insurance company

DOI10.1007/S10559-013-9509-0zbMath1298.91095OpenAlexW2024084401MaRDI QIDQ465945

B. V. Bondarev, O. E. Sosnytskyy

Publication date: 24 October 2014

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

Full work available at URL: https://doi.org/10.1007/s10559-013-9509-0

zbMATH Keywords

non-ruin probability(B,S)-marketarbitrage-free propertystochastic integral with respect to Poisson measure

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (3)

Mathematical model of banking operation ⋮ Some problems for Clark's model. II. A solution for Merton's portfolio problem ⋮ The optimal control of the consumer fund with the functions of the insurance company under assumption of the work on the financial market with the advertising strategy

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
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