Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103613
Authors: 
Malinovskii, Vsevolod K.
Year of Publication: 
2014
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Publisher:] MDPI [Place:] Basel [Volume:] 2 [Year:] 2014 [Issue:] 3 [Pages:] 249-259
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.
Subjects: 
level premium rate
level initial capital
diffusion model of risk
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Article
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