Risk models with stochastic premium and ruin probability estimation
The study focuses on the estimate of the ruin probability within the so-called random premiums model, which extends the classical risk model by introducing a stochastic premium income. In particular, a scheme of calculation based on the Fourier method is proposed. Moreover, developments of the classical Cramér-Lundberg theory are discussed and applications to specific financial cases are considered.
scientific article; zbMATH DE number 6387751
scientific article