Ruin probability via Quantum Mechanics Approach

Muhsin Tamturk and Sergey Utev

Insurance: Mathematics and Economics, 2018, vol. 79, issue C, 69-74

Abstract: The finite time ruin probability in the classical surplus process setup with additional capital injections and withdrawals is investigated via the Quantum Mechanics Approach. The results are compared with the Picard–Lefevre Appell Polynomial approach and the traditional Markov Chain approach. In addition, several optimization problems in the insurance market are numerically solved by applying the Quantum Mechanics Approach.

Keywords: Ruin probability; Hamiltonian; Path integral; Quantum mechanics; Capital injection; Appell Polynomials (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:79:y:2018:i:c:p:69-74

DOI: 10.1016/j.insmatheco.2017.12.009

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