an:06858903
Zbl 1401.91197
Tamturk, Muhsin; Utev, Sergey
Ruin probability via quantum mechanics approach
EN
Insur. Math. Econ. 79, 69-74 (2018).
00383531
2018
j
91B30 91B80 91G60 65C99
ruin probability; Hamiltonian; path integral; quantum mechanics; capital injection; Appell polynomials
Summary: The finite time ruin probability in the classical surplus process setup with additional capital injections and withdrawals is investigated via the quantum mechanics approach. The results are compared with the Picard-Lefevre Appell polynomial approach and the traditional Markov chain approach. In addition, several optimization problems in the insurance market are numerically solved by applying the quantum mechanics approach.