Risk models with stochastic premium and ruin probability estimation
type: Item
instance of: scholarly article
title: Risk models with stochastic premium and ruin probability estimation
zbMATH Open document ID: 1307.91101
published in: Journal of Mathematical Sciences (New York)
publication date: 2015-01-19T00:00:00Z
review text: 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.
reviewed by: Emilia Di Lorenzo
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60K10
zbMATH DE Number: 6387751
zbMATH Keywords: risk theory
zbMATH Keywords: random premiums model
zbMATH Keywords: stochastic premium income
author: Grigory Temnov
MaRDI profile type: Publication
full work available at URL: s10958-013-1640-y
OpenAlex ID: W1982293698
cites work: Q4791427
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cites work: Risk process with random income
DOI: 10.1007/S10958-013-1640-Y
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description: scientific article; zbMATH DE number 6387751