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自动化与信息科学期刊

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ISSN 打印: 1064-2315

ISSN 在线: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

On the Probability Estimate of the Insurance Company Bankruptcy in the Model with Stochastic Premiums and Claims and the Opportunity to Invest in Financial (B, S)-market

卷 42, 册 9, 2010, pp. 68-80
DOI: 10.1615/JAutomatInfScien.v42.i9.70
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摘要

The mathematical model of the insurance company working on financial (B, S)-market is analyzed. The share price is described by Samuelsson model and the model, where Ornstein–Uhlenbeck process is the basic one for the description of the share price. The classical risk model is generalized, where the process of premiums and claims is stochastic. Power estimate of the insurance company bankruptcy probability depending on initial capital is constructed and the program control to minimize this probability estimate is found.

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