Adaptive control strategies and dependence of finite time ruin on the premium loading
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Publication:939330
DOI10.1016/J.INSMATHECO.2007.01.001zbMath1141.91534OpenAlexW2012891288MaRDI QIDQ939330
Publication date: 22 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.01.001
adaptive controlBessel functionsclassical risk modelpremium loadingfinite time ruin probabilitiesequity-solvency balancemultiperiodic insurance risk model
Related Items (7)
Level premium rates as a function of initial capital ⋮ Equitable solvent controls in a multi-period game model of risk ⋮ Risk theory insight into a zone-adaptive control strategy ⋮ Simulation analysis of ruin capital in Sparre Andersen's model of risk ⋮ Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework ⋮ Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk ⋮ Annual intrinsic value of a company in a competitive insurance market
Cites Work
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- Risk theory insight into a zone-adaptive control strategy
- Non-Poissonian claims' arrivals and calculation of the probability of ruin
- The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
- Approximations for the probability of ruin within finite time
- Computation of Modified Bessel Functions and Their Ratios
- Probabilities of ruin when the safety loading tends to zero
- On the Ruin Probability Under a Class of Risk Processes
- On the Density and Moments of the Time of Ruin with Exponential Claims
- Saddlepoint approximations for the probability of ruin in finite time
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