Ruin Probability of a Discrete-Time Risk Process with Proportional Reinsurance and Investment for the Exponential and Pareto Distributions
The paper focuses on a quantitative analysis of the probability of ruin in a finite time for a discrete risk process with proportional reinsurance and investment of the financial surplus. It is assumed that the total loss on a unit interval has either a light-tailed distribution - exponential distri...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wrocław University of Science and Technology
2015-01-01
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| Series: | Operations Research and Decisions |
| Online Access: | http://orduser.pwr.wroc.pl/DownloadFile.aspx?aid=1142 |