Publication date: Available online 24 December 2017
Source:Insurance: Mathematics and Economics
Author(s): Muhsin Tamturk, Sergey Utev
The finite time ruin probability in the classical surplus process setup with additional capital injections and withdrawals is investigated via the Quantum Mechanics Approach. The results are compared with the Picard-Lefevre Appell Polynomial approach and the traditional Markov Chain approach. In addition, several optimization problems in the insurance market are numerically solved by applying the Quantum Mechanics Approach.
Source:Insurance: Mathematics and Economics
Author(s): Muhsin Tamturk, Sergey Utev