The study demonstrates the minimum initial capital needed to manage ruin probability in insurance, indicating its regulatory significance.
This paper studies an insurance model under the regulation that the insurance company has to reserve sufficient initial capital to ensure that ruin probability does not exceed the given quantity α. We prove the existence of the minimum initial capital. To illustrate our results, we give an example in approximating the minimum initial capital for exponential claims.
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Sattayatham et al. (2013) studied this question.
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