EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668716302062
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2018-11-03
Handle: RePEc:eee:insuma:v:79:y:2018:i:c:p:69-74