Ruin probability in models with stochastic premiums (Q2027878)
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scientific article; zbMATH DE number 7351998
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Ruin probability in models with stochastic premiums |
scientific article; zbMATH DE number 7351998 |
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Ruin probability in models with stochastic premiums (English)
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28 May 2021
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The paper focuses on the the ruin probability of an insurance company. Some generalizations of the classical Cramér-Lundberg model are considered; in particular, either the aggregate claims process or the aggregate premium process is not Poisson -- as commonly hypothesized in literature -- but constructed using a renewal process. Within this framework, upper bounds for the ruin probability are provided.
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insurance
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risk model with stochastic premiums
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ruin probability
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