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Cybernetics And Systems Analysis
International Theoretical Science Journal
UDC 519.21
Bondarev B.V., Sosnytskyy O.E.

SOME PROBLEMS FOR CLARK’S MODEL. І. ESTIMATING THE NON-RUIN PROBABILITY FOR AN INSURANCE COMPANY

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.



FULL TEXT

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.

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