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Journal of Automation and Information Sciences
SJR: 0.275 SNIP: 0.59 CiteScore™: 0.8

ISSN Печать: 1064-2315
ISSN Онлайн: 2163-9337

Выпуски:
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Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v46.i12.80
pages 65-76

On Non-ruin Probability of Insurance Company, Operating on the (B, S)-Market. Proportional Insurance Premiums

Boris V. Bondarev
Donetsk National University, Ukraine
Valeria O. Boldyreva
Donetsk National University

Краткое описание

A model of risk, in which the intensity of the premiums depends on the current capital of the insurance company, which works on the (B, S)-market, is considered. Evolution of the risky asset is described by the P. Samuelson model. The equations for the probability of non-bankruptcy on finite and infinite time intervals of company, operating without restrictions on the existence of the density distribution of insurance claims, have been derived. A particular case, showing that the use of risky asset increases the probability of non-bankruptcy of the insurance company, is considered.


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