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Note on the selection properties of set-valued semimartingales

100%

Michta M.

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

1996

tom 16

nr 2

161-169

Set-valued semimartingales are introduced as an extension of the notion of single-valued semimartingales. For such multivalued processes their semimartingale selection properties are investigated.

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On risk reserve under distribution constraints

88%

Michta M.

Discussiones Mathematicae Probability and Statistics

2000

tom 20

nr 2

249-260

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.

Ograniczanie wyników

1 Discussiones Mathematicae Probability and Statistics

1 Discussiones Mathematicae, Differential Inclusions, Control and Optimization

2 Michta M.

1 2000

1 1996

Wyniki wyszukiwania

Note on the selection properties of set-valued semimartingales

On risk reserve under distribution constraints