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

doi:10.3390/risks2030249

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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

Vsevolod K. Malinovskii

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Received: 29 March 2014 / Revised: 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

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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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