Probability of ruin with variable premium rate in a Markovian environment

Authors
Jasiulewicz, H
Citation
H. Jasiulewicz, Probability of ruin with variable premium rate in a Markovian environment, INSUR MATH, 29(2), 2001, pp. 291-296
Citations number
11
Categorie Soggetti
Economics
Journal title
INSURANCE MATHEMATICS & ECONOMICS
ISSN journal
01676687 → ACNP
Volume
29
Issue
2
Year of publication
2001
Pages
291 - 296
Database
ISI
SICI code
0167-6687(20011019)29:2<291:PORWVP>2.0.ZU;2-H
Abstract
The probability of ruin is investigated under the influence of a premium ra te which varies with the level of free reserves. In the considered risk mod el, the occurrence of claims is described by the Cox process. (C) 2001 Else vier Science B.V. All rights reserved.