Risk models with stochastic premium and ruin probability estimation (Q487109)
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scientific article; zbMATH DE number 6387751
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| English | Risk models with stochastic premium and ruin probability estimation |
scientific article; zbMATH DE number 6387751 |
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Risk models with stochastic premium and ruin probability estimation (English)
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19 January 2015
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The study focuses on the estimate of the ruin probability within the so-called random premiums model, which extends the classical risk model by introducing a stochastic premium income. In particular, a scheme of calculation based on the Fourier method is proposed. Moreover, developments of the classical Cramér-Lundberg theory are discussed and applications to specific financial cases are considered.
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risk theory
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random premiums model
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stochastic premium income
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0.96394086
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