Equations for the Survival Probability of an Insurance Company in the (<i>B, S</i>)-market Taking into Account Advertising

Boris V. Bondarev; Valeria O. Boldyreva

doi:10.1615/JAutomatInfScien.v46.i1.60

Journal of Automation and Information Sciences

Editor chefe: Arkadiy A. Chikriy (open in a new tab)

Editor associados: Vyacheslav F. Gubarev (open in a new tab) Yuriy P. Kondratenko (open in a new tab) Nonna V. Turovyerova (open in a new tab)

Publicou 12 edições por ano

ISSN Imprimir: 1064-2315

ISSN On-line: 2163-9337

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Equations for the Survival Probability of an Insurance Company in the (B, S)-market Taking into Account Advertising

Volume 46, Edição 1, 2014, pp. 53-62

DOI: 10.1615/JAutomatInfScien.v46.i1.60

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Boris V. Bondarev
Donetsk National University, Ukraine

Valeria O. Boldyreva
Donetsk National University

RESUMO

The activities of an insurance company, operating in the (B, S)-market, when a risky assets are described by the Samuelson model, and time interval varies from 0 do +∞, are considered. The sufficient conditions for the existence of derivatives of a survival probability as a function of the initial capital, are obtained. The integro-differential partial equations for the survival probability of an insurance company are derived.

Palavras-chave: mathematical models in insurance, Samuelson model of risky asset, existence of derivatives of a survival probability, (B, S)-market taking into account advertising.

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