Calculation of Ruin Probabilities when the Premium Depends on the Current Reserve

DOI10.1080/03461238.1989.10413865MaRDI QIDQ3497095zbMATH OpenOpenAlexFDO

Authors Søren Schock Petersen

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

zbMATH Keywords

compound Poisson risk processgeneral premium ratePoisson processrisk reserve processruin probability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic methods, stochastic differential equations (65C99)

Recommendations

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Cites work

• Ruin problems with compounding assets
• Solution of the volterra equation of renewal theory with the galerkin technique using cubic splines
• The Recurrence Classification of Risk and Storage Processes

Cited in

(22)

• Ruin theory with compounding assets -- a survey
• Rejection rules in the \(M/G/1\) queue
• Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims
• The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach
• Risk processes with dependence and premium adjusted to solvency targets
• Calculation of finite time ruin probabilities for some risk models
• On reserves of net premium in accumulating insurance
• Calculating continuous time ruin probabilities for a large portfolio with varying premiums
• A large deviation principle for the risk process with varying premium
• Ruin probabilities expressed in terms of storage processes
• The Probability of Ultimate Ruin with a Variable Premium Loading—a Special Case
• scientific article; zbMATH DE number 1883578 (Why is no real title available?)
• scientific article; zbMATH DE number 2101203 (Why is no real title available?)
• Asymptotic behavior of the finite-time ruin probability with pairwise quasi-asymptotically independent claims and constant interest force
• A risk model with multilayer dividend strategy
• Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
• Estimation of ruin probability of risk process with reinsurance
• The Method of Upper and Lower Solutions of Stochastic Differential Equations and Applications
• Ruin probability with variable premium rate and disturbed by diffusion in a Markovian environment
• Probability of ruin with variable premium rate in a Markovian environment
• Premium pricing under a ruin probability with policy deductible or with benefit limit
• Ruin probabilities in an Erlang risk model with dependence structure based on an independent gamma-distributed time window

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