Abstract
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.
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Acknowledgements
The support of Higher Education Commission of Islamabad is gratefully acknowledged. We also acknowledge the fruitful comments of the anonymous referees.
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Hussain, S., Parvez, A. Wealth Investment Strategies for Insurance Companies and the Probability of Ruin. Iran J Sci Technol Trans Sci 42, 1555–1561 (2018). https://doi.org/10.1007/s40995-017-0166-4
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DOI: https://doi.org/10.1007/s40995-017-0166-4