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Discrete-Time Insurance Models

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Moscow University Mathematics Bulletin Aims and scope

Abstract

Two discrete-time insurance models are considered. The first model studies nonproportional reinsurance and bank loans. For this model, we establish the optimal control and stability to small fluctuation of parameters and perturbation of random variables distributions describing the model. The second model is dual and the ruin probabilities are compared under assumption that the gains distributions satisfy one of four partial orders.

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This work was supported by ongoing institutional funding. No additional grants to carry out or direct this particular research were obtained.

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  1. Chair of Probability Theory, Faculty of Mechanics and Mathematics, Lomonosov Moscow State University, Moscow, Russia

    E. V. Bulinskaya

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  1. E. V. Bulinskaya
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Correspondence to E. V. Bulinskaya.

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Translated by E. Oborin

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Bulinskaya, E.V. Discrete-Time Insurance Models. Moscow Univ. Math. Bull. 78, 298–308 (2023). https://doi.org/10.3103/S0027132223060025

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