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Wealth investment strategies for insurance companies and the probability of ruin. (English) Zbl 1397.91286

Summary: This work is focused on the formulation of the wealth, analysis of the continuous- and discrete-time investment strategies in risky as well as risk-free markets and the probability of ruin for insurance companies. We also discuss solvency condition for each investment strategy and obtain explicit expression for the probability of ruin of a particular investments strategy. Moreover, we identify maximum claim size which would not produce ruin when investments are made.

MSC:

91B30 Risk theory, insurance (MSC2010)
91G10 Portfolio theory
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