Risks 2014, 2(3), 249-259; doi:10.3390/risks2030249
Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk
Central Economics and Mathematics Institute (CEMI) of Russian Academy of Science, Nakhimovskiy prosp., 47, Moscow 117418, Russia
Received: 29 March 2014 / Revised: 19 June 2014 / Accepted: 30 June 2014 / Published: 8 July 2014
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.
This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).
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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.