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Asymptotic Analysis of Insurance Models with Bank Loans and Reinsuranceстатья Исследовательская статья
- Автор: Bulinskaya Ekaterina
- Сборник: THE 5th INTERNATIONAL CONFERENCE ON STOСHASTIC METHODS (ICSM-5) Proceedings of the international scientific conference
- Год издания: 2020
- Издательство: People's Friendship University
- Местоположение издательства: Russian Federation
- Первая страница: 48
- Последняя страница: 52
- Аннотация: Discrete-time models became popular in actuarial mathematics during the last two decades, since inmany cases they reflect more precisely the real situation. In order to control the insurance process a company may use such tools as reinsurance, bank loans, investment and dividends. Below we consider an insurance model with bank loans and non-proportional reinsurance. First, we establish the optimal policy of bank loans in the framework of cost approach. Second, the limit behavior of the company surplus under optimal control is investigated. In particular, the strong law of large numbers (SLLN) and central limit theorem (CLT) are proved. The model stability with respect to small fluctuations of the underlying distributions is also treated.
- Добавил в систему: Булинская Екатерина Вадимовна