On risk reserve under distribution constraints

• Autorzy: Mariusz Michta
• Języki publikacji: EN

Abstrakty

EN

The purpose of this work is a study of the following insurance reserve model:
$R(t) = η + ∫_{0}^{t} p(s,R(s))ds + ∫_{0}^{t} σ(s,R(s))dW_{s} - Z(t)$, t ∈ [0,T],
P(η ≥ c) ≥ 1-ϵ, ϵ ≥ 0.
Under viability-type assumptions on a pair (p,σ) the estimation γ with the property: $inf_{0≤t≤T} P{R(t) ≥ c} ≥ γ$ is considered.

Słowa kluczowe

EN

martingales; stochastic equations; reserve process; Girsanov`s theorem; viability

Kategorie tematyczne

• 60H10: Stochastic ordinary differential equations
• 60G44: Martingales with continuous parameter

• Wydawca: Faculty of Mathematics, Computer Science and Econometrics, University of Zielona Góra
• Czasopismo: Discussiones Mathematicae Probability and Statistics
• Rocznik: 2000
• Tom: 20
• Numer: 2
• Strony: 249-260

Daty

wydano

2000

otrzymano

2000-09-10

Twórcy

autor

Mariusz Michta

• Institute of Mathematics, Technical University, Podgórna 50, 65-246 Zielona Góra, Poland

Bibliografia

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Identyfikatory

DOI

10.7151/dmps.1015