Ukrainian Mathematical Journal

, Volume 59, Issue 11, pp 1617–1631 | Cite as

Estimation of the ruin probability of an insurance company operating on a BS-market

  • M. O. Androshchuk
  • Yu. S. Mishura


We obtain an estimate for the ruin probability of an insurance company that invests a part of its capital in stocks and puts the rest of the capital in a bank account. An insurance premium is established depending on the capital of the insurance company.


Bank Account Insurance Premium Risk Process Local Martingale Gronwall Inequality 
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Copyright information

© Springer Science+Business Media, Inc. 2007

Authors and Affiliations

  • M. O. Androshchuk
    • 1
  • Yu. S. Mishura
    • 1
  1. 1.Shevchenko Kyiv National UniversityKyivUkraine

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