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Renner A.G., Buresh A.I. THE DYNAMIC MODEL OF THE INSURANCE COMPANY INVESTMENT PORTFOLIO CONSTRUCTIONIn this paper a model of the non-ruin probability of an insurance company investing its own capital into risk and risk-free assets is constructed. The temporally optimization of a non-ruin probability is considered.Key words: probability of non-ruin, risk and risk-free assets, investing.
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About this article
Authors: Renner A.G., Buresh A.I.
Year: 2012
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Editor-in-chief |
Sergey Aleksandrovich MIROSHNIKOV |
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