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Risks 2014, 2(3), 249-259; doi:10.3390/risks2030249
Article

Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk

Received: 29 March 2014; in revised form: 19 June 2014 / Accepted: 30 June 2014 / Published: 8 July 2014
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Abstract: In a diffusion model of risk, we focus on the initial capital needed to make the probability of ruin within finite time equal to a prescribed value. It is defined as a solution of a nonlinear equation. The endeavor to write down and to investigate analytically this solution as a function of the premium rate seems not technically feasible. Instead, we obtain informative bounds for this capital in terms of elementary functions.
Keywords: level premium rate; level initial capital; diffusion model of risk level premium rate; level initial capital; diffusion model of risk
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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MDPI and ACS Style

Malinovskii, V.K. Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk. Risks 2014, 2, 249-259.

AMA Style

Malinovskii VK. Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk. Risks. 2014; 2(3):249-259.

Chicago/Turabian Style

Malinovskii, Vsevolod K. 2014. "Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk." Risks 2, no. 3: 249-259.


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