On risk reserve under distribution constraints
Mariusz Michta
Discussiones Mathematicae Probability and Statistics, Tome 20 (2000), p. 249-260 / Harvested from The Polish Digital Mathematics Library
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The purpose of this work is a study of the following insurance reserve model: R(t)=η+∫0tp(s,R(s))ds+∫0tσ(s,R(s))dWs-Z(t), t ∈ [0,T], P(η ≥ c) ≥ 1-ϵ, ϵ ≥ 0. Under viability-type assumptions on a pair (p,σ) the estimation γ with the property: inf0≤t≤TPR(t)≥c≥γ is considered.

Publié le : 2000-01-01
EUDML-ID : urn:eudml:doc:287660 
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Mariusz Michta. On risk reserve under distribution constraints. Discussiones Mathematicae Probability and Statistics, Tome 20 (2000) pp. 249-260. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1015/

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