Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk

In a diffusion model of risk, we focus on the initial capital needed to make the probability of ruin within finite time equal to a prescribed value. It is defined as a solution of a nonlinear equation. The endeavor to write down and to investigate analytically this solution as a function of the prem...
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Autor*in:	Vsevolod K. Malinovskii [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2014

Schlagwörter:	level premium rate level initial capital diffusion model of risk

Übergeordnetes Werk:	In: Risks - MDPI AG, 2013, 2(2014), 3, Seite 249-259
Übergeordnetes Werk:	volume:2 ; year:2014 ; number:3 ; pages:249-259

Links:	Link aufrufen Link aufrufen Link aufrufen Journal toc

DOI / URN:	10.3390/risks2030249

Katalog-ID:	DOAJ011868783

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callnumber-first	H - Social Science
author	Vsevolod K. Malinovskii
spellingShingle	Vsevolod K. Malinovskii misc HG8011-9999 misc level premium rate misc level initial capital misc diffusion model of risk misc Insurance Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk
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topic_title	HG8011-9999 Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk level premium rate level initial capital diffusion model of risk
topic	misc HG8011-9999 misc level premium rate misc level initial capital misc diffusion model of risk misc Insurance
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title	Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk
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title_full	Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk
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title_sort	elementary bounds on the ruin capital in a diffusion model of risk
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title_auth	Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk
abstract	In a diffusion model of risk, we focus on the initial capital needed to make the probability of ruin within finite time equal to a prescribed value. It is defined as a solution of a nonlinear equation. The endeavor to write down and to investigate analytically this solution as a function of the premium rate seems not technically feasible. Instead, we obtain informative bounds for this capital in terms of elementary functions.
abstractGer	In a diffusion model of risk, we focus on the initial capital needed to make the probability of ruin within finite time equal to a prescribed value. It is defined as a solution of a nonlinear equation. The endeavor to write down and to investigate analytically this solution as a function of the premium rate seems not technically feasible. Instead, we obtain informative bounds for this capital in terms of elementary functions.
abstract_unstemmed	In a diffusion model of risk, we focus on the initial capital needed to make the probability of ruin within finite time equal to a prescribed value. It is defined as a solution of a nonlinear equation. The endeavor to write down and to investigate analytically this solution as a function of the premium rate seems not technically feasible. Instead, we obtain informative bounds for this capital in terms of elementary functions.
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title_short	Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk
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