Abstract
In this paper, we use a diffusion process to model the risk
reserve of an insurance company. By using some stochastic calculus
techniques, a partial differential equation satisfied by the finite time
horizon conditional ruin probability is obtained. Some special cases
are studied. We also incorporate the stochastic interest rate model
in our setup.
reserve of an insurance company. By using some stochastic calculus
techniques, a partial differential equation satisfied by the finite time
horizon conditional ruin probability is obtained. Some special cases
are studied. We also incorporate the stochastic interest rate model
in our setup.
| Original language | English |
|---|---|
| Pages (from-to) | 207-214 |
| Journal | Stochastic Analysis and Applications |
| Volume | 19 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2001 |
| Externally published | Yes |