Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/103613 
Year of Publication: 
2014
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 2 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2014 [Pages:] 249-259
Publisher: 
MDPI, Basel
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: 
cc-by Logo
Document Type: 
Article
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