|
Mathematics
Insurance models with discrete time
E. V. Bulinskaya Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
Two discrete-time insurance models are considered. The first model studies non-proportional reinsurance and bank loans. For this model, we establish the optimal control and stability to small fluctuation of parameters and perturbation of random variables distributions describing the model. The second model is dual and the ruin probabilities are compared under assumption that the gains distributions satisfy one of four partial orders.
Key words:
discrete-time insurance models, optimal control, stability with respect to small fluctuation of parameters and perturbation of random variables distributions describing the model, ruin probability, stochastic orders.
Received: 07.06.2023
Citation:
E. V. Bulinskaya, “Insurance models with discrete time”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2023, no. 6, 42–52; Moscow University Mathematics Bulletin, 78:6 (2023), 298–308
Linking options:
https://www.mathnet.ru/eng/vmumm4578 https://www.mathnet.ru/eng/vmumm/y2023/i6/p42
|
Statistics & downloads: |
Abstract page: | 70 | Full-text PDF : | 84 | References: | 25 |
|