Abstract
We consider the controlled random walk as a flexible model of risk process which takes into account the possibility of intervention of the insurer. We derive a method of approximating the optimal probability of ruin from below and from above. The approximations are based on iterations of the Bellman operator. To initialize the sequence of upper approximations we can use the Lundberg bound or another upper bound on the probability of ruin.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
