Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk

Vsevolod K. Malinovskii
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Vsevolod K. Malinovskii: Central Economics and Mathematics Institute (CEMI) of Russian Academy of Science, Nakhimovskiy prosp., 47, Moscow 117418, Russia

Risks, 2014, vol. 2, issue 3, 1-11

Abstract: In a diffusion model of risk, we focus on the initial capital needed to make the probability of ruin within finite time equal to a prescribed value. It is defined as a solution of a nonlinear equation. The endeavor to write down and to investigate analytically this solution as a function of the premium rate seems not technically feasible. Instead, we obtain informative bounds for this capital in terms of elementary functions.

Keywords: level premium rate; level initial capital; diffusion model of risk (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:2:y:2014:i:3:p:249-259:d:37899

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