SOME PROBLEMS FOR CLARK'S MODEL. I. ESTIMATING THE NON-RUIN PROBABILITY FOR AN INSURANCE COMPANY

B. V. Bondarev; O. E. Sosnytskyy

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SOME PROBLEMS FOR CLARK'S MODEL. I. ESTIMATING THE NON-RUIN PROBABILITY FOR AN INSURANCE COMPANY

机译：克拉克模型的一些问题。 I.估算保险公司的非破产概率

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摘要

The non-ruin probability is estimated for an insurance company on (B, S)-market. Clark's model is taken as a model of the stock price evolution. The model is shown to be arbitrage-free.

机译：估计一家保险公司在（B，S）市场上的非破产概率。克拉克模型被视为股票价格演变的模型。该模型显示为无套利。

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来源
《Cybernetics and Systems Analysis》 |2013年第2期|279-288|共10页
作者
B. V. Bondarev; O. E. Sosnytskyy;
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作者单位

Donetsk National University, Donetsk, Ukraine;

Donetsk National University, Donetsk, Ukraine;

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收录信息美国《工程索引》(EI);
原文格式 PDF
正文语种 eng
中图分类
关键词
stochastic integral with respect to poisson measure; arbitrage-free property; (b,s)-market; non-ruin probability;

机译：关于泊松测度的随机积分;无套利财产;（b;s）市场;非破产概率;

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SOME PROBLEMS FOR CLARK'S MODEL. I. ESTIMATING THE NON-RUIN PROBABILITY FOR AN INSURANCE COMPANY

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