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Some Problems for Clark’s Model. I. Estimating the Non-Ruin Probability for an Insurance Company

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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.

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Authors and Affiliations

  1. Donetsk National University, Donetsk, Ukraine

    B. V. Bondarev & O. E. Sosnytskyy

Authors
  1. B. V. Bondarev
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  2. O. E. Sosnytskyy
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Correspondence to B. V. Bondarev.

Additional information

Translated from Kibernetika i Sistemnyi Analiz, No. 2, March–April, 2013, pp. 139–149.

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Bondarev, B.V., Sosnytskyy, O.E. Some Problems for Clark’s Model. I. Estimating the Non-Ruin Probability for an Insurance Company. Cybern Syst Anal 49, 279–288 (2013). https://doi.org/10.1007/s10559-013-9509-0

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  • DOI: https://doi.org/10.1007/s10559-013-9509-0

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