Title of article
On a modification of the classical risk process
Author/Authors
Bratiychuk، نويسنده , , M.S. and Derfla، نويسنده , , D.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
7
From page
156
To page
162
Abstract
In this paper, we present the classical risk process with two-step premium function. This means that the gross risk premium rate changes if the insurer’s surplus reaches a certain threshold level. The formula for the infinite-time ruin probability is obtained. The asymptotic behaviour of the ruin probability in the case where the claim size distribution has a light tail is considered as well.
Keywords
Risk process , Ruin probability , 60J30 , 60K30 , Boundary functionals
Journal title
Insurance Mathematics and Economics
Serial Year
2007
Journal title
Insurance Mathematics and Economics
Record number
1543343
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