Risk processes with dependence and premium adjusted to solvency targets

DOI10.1007/s13385-012-0046-4zbMath1269.91042MaRDI QIDQ2391937

Corina Constantinescu, Ragnar Norberg, Véronique Maume-Deschamps

Publication date: 5 August 2013

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-012-0046-4

zbMATH Keywords

general risk process; Lundberg upper bound; martingalizing premium rate

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model, An application of risk theory to mortgage lending, Risk models with premiums adjusted to claims number, Simulation analysis of ruin capital in Sparre Andersen's model of risk

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