Calculation of Ruin Probabilities when the Premium Depends on the Current Reserve
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Publication:3497095
DOI10.1080/03461238.1989.10413865zbMath0711.62097OpenAlexW2003342888MaRDI QIDQ3497095
Publication date: 1989
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1989.10413865
ruin probabilityPoisson processcompound Poisson risk processrisk reserve processgeneral premium rate
Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic methods, stochastic differential equations (65C99)
Related Items (13)
Rejection rules in the \(M/G/1\) queue ⋮ The Probability of Ultimate Ruin with a Variable Premium Loading—a Special Case ⋮ Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims ⋮ Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force ⋮ The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach ⋮ Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation ⋮ The Method of Upper and Lower Solutions of Stochastic Differential Equations and Applications ⋮ Probability of ruin with variable premium rate in a Markovian environment ⋮ A large deviation principle for the risk process with varying premium ⋮ Ruin theory with compounding assets -- a survey ⋮ Ruin probability with variable premium rate and disturbed by diffusion in a Markovian environment ⋮ Calculation of finite time ruin probabilities for some risk models ⋮ A Risk Model with Multilayer Dividend Strategy
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