Wealth Investment Strategies for Insurance Companies and the Probability of Ruin

被引：1
|
作者：
Hussain, Sultan [1 ]
Parvez, Aqsa [1 ,2 ]
机构：
[1] COMSATS Inst Informat Technol, Abbottabad 22010, Pakistan
[2] Qauid E Azam Girls Publ Sch & Coll, Swabi 22621, Pakistan
来源：
IRANIAN JOURNAL OF SCIENCE AND TECHNOLOGY TRANSACTION A-SCIENCE | 2018年 / 42卷 / A3期
关键词：
Wealth function; Solvency condition; Discrete-time investments; Optimal investments; Probability of ruin; STOCHASTIC ECONOMIC-ENVIRONMENT; RISKY INVESTMENTS; INSURERS; MODELS;
D O I：
10.1007/s40995-017-0166-4
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
This work is focused on the formulation of the wealth, analysis of the continuous- and discrete-time investment strategies in risky as well as risk-free markets and the probability of ruin for insurance companies. We also discuss solvency condition for each investment strategy and obtain explicit expression for the probability of ruin of a particular investments strategy. Moreover, we identify maximum claim size which would not produce ruin when investments are made.
引用
收藏
页码：1555 / 1561
页数：7
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