Probabilistic approach to risk processes with level-dependent premium rate

DOI10.1016/J.INSMATHECO.2024.06.002MaRDI QIDQ6607490zbMATH OpenFDO

Authors Denis E. Denisov, Niklas Gotthardt, Dmitry Korshunov, Vitali Wachtel

Publication date 18 September 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2024.06.002

zbMATH Keywords

risk processtransient Markov chainCramér-Lundberg modeldown-crossing probabilitiesheavy-tailed ruin probabilitylevel-dependent premium rate

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• scientific article; zbMATH DE number 3175657 (Why is no real title available?)
• scientific article; zbMATH DE number 3206641 (Why is no real title available?)
• Affine storage and insurance risk models
• An introduction to heavy-tailed and subexponential distributions
• Criteria for stochastic processes. II: Passage-time moments
• Criteria for the recurrence or transience of stochastic process. I
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Exact and asymptotic results for insurance risk models with surplus-dependent premiums
• Fluctuation theory for level-dependent Lévy risk processes
• Markov processes with asymptotically zero drifts
• Non-homogeneous random walks. Lyapunov function methods for near-critical stochastic systems
• On the existence of a regularly varying majorant of an integrable monotone function
• On the optimal dividend problem for insurance risk models with surplus-dependent premiums
• Potential analysis for positive recurrent Markov chains with asymptotically zero drift: power-type asymptotics
• Queues with workload-dependent arrival and service rates
• Risk models with premiums adjusted to claims number
• Ruin probabilities
• Transient phenomena for Markov chains and applications

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