Abstract. The non-ruin probability is estimated for an insurance company on (B,S)–market. Clark’s model is taken as a model of the stock price evolution. The model is shown to be arbitrage-free.
Keywords: stochastic integral with respect to Poisson measure, arbitrage-free property, (B, S)-market, non-ruin probability.
Бондарев Борис Владимирович,
доктор физ.-мат. наук, профессор Донецкого национального университета,
e-mail: bondarev.mart@gmail.com.
Сосницкий Олег Евгеньевич,
аспирант Донецкого национального университета,
e-mail: yahooomg@gmail.com.