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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2020, Number 4, Pages 57–61
(Mi vmumm4343)
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Short notes
Ruin probability in models with stochastic premiums
A. A. Muromskaya Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
The probability of ruin of an insurance company is studied under two different risk models with stochastic premiums. Upper bounds for the probability of ruin are obtained provided that either the aggregate claims process or the aggregate premium process is constructed using the renewal process.
Key words:
insurance, risk model with stochastic premiums, ruin probability.
Received: 16.10.2019
Citation:
A. A. Muromskaya, “Ruin probability in models with stochastic premiums”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2020, no. 4, 57–61; Moscow University Mathematics Bulletin, 75:4 (2020), 177–180
Linking options:
https://www.mathnet.ru/eng/vmumm4343 https://www.mathnet.ru/eng/vmumm/y2020/i4/p57
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Abstract page: | 89 | Full-text PDF : | 14 | References: | 17 | First page: | 10 |
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