Cramér-Lundberg model with stochastic premiums and continuous non-insurance costs

DOI10.1007/978-3-319-13671-4_30zbMATH Open1329.91070OpenAlexW280032521MaRDI QIDQ3463571FDOQ3463571

Authors Klimentii Livshits, Konstantin Yakimovich

Publication date 19 January 2016

Published in Communications in Computer and Information Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-13671-4_30

zbMATH Keywords

probability of ruininsurance premium safety loadingmoment-generating function of time to ruin

Mathematics Subject Classification ID

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

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Cites work

• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Bounds for the ruin probability under a markovian modulated risk model
• On the probability of ruin in a Markov-modulated risk model
• Simple approximations of ruin probabilities

Cited in

(4)

• scientific article; zbMATH DE number 2030798 (Why is no real title available?)
• scientific article; zbMATH DE number 5520306 (Why is no real title available?)
• Some mathematical properties of the premium function and ruin probability of a generalized Cramér-Lundberg model driven by mixed Poisson processes
• On the continuous dependence of non-ruin probability on claim distribution function in the classical risk model

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