The Effect of Stochastic Capital Reserve on Actuarial Risk Analysis via an Integrodifferential Equation
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This work investigates the effect of stochastic
capital reserve on actuarial risk analysis. The formulated
mathematical problem is a risk-reserve process of an insurance company whose ruin and survival probabilities are analyzed via the solutions of a derived integro-differential equation (IDE).
We further study the interplay between the parameters
governing the ruin and the survival probabilities regarding the risk-reserve model; thereby establish a relationship between the probabilities and the initial risk reserve in terms of the other parameters.
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QA Mathematics