Risk processes with dependence and premium adjusted to solvency targets

DOI10.1007/S13385-012-0046-4MaRDI QIDQ2391937zbMATH OpenOpenAlexFDO

Authors Corina Constantinescu, Véronique Maume-Deschamps, Ragnar Norberg

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 processLundberg upper boundmartingalizing premium rate

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(11)

• scientific article; zbMATH DE number 962269 (Why is no real title available?)
• Risk models with premiums adjusted to claims number
• Simulation analysis of ruin capital in Sparre Andersen's model of risk
• Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model
• Adjustment coefficient for risk processes in some dependent contexts
• Bayesian solvency analysis with autocorrelated observations
• Probabilistic approach to risk processes with level-dependent premium rate
• Adaptive control strategies and dependence of finite time ruin on the premium loading
• An application of risk theory to mortgage lending
• The Probability of Ruin in a Kind of Cox Risk Model with Variable Premium Rate
• Premium pricing under a ruin probability with policy deductible or with benefit limit

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