Elementary bounds on the ruin capital in a diffusion model of risk

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.

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Year of publication:	2014
Authors:	Malinovskii, Vsevolod K.
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 2.2014, 3, p. 249-259
Publisher:	Basel : MDPI
Subject:	level premium rate \| level initial capital \| diffusion model of risk

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks2030249 [DOI] 796260001 [GVK] hdl:10419/103613 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010421277