Calculation of ruin probabilities when the premium depends on the current reserve. (English) Zbl 0711.62097

Petersen, Søren Schock

Scand. Actuarial J. 1989, No. 3, 147-159 (1989).

Summary: The purpose of this paper is to show how the ruin probability can be found for a compound Poisson risk process with a general premium rate p(r) depending on the reserve r, and it is illustrated how the probability of ruin can be calculated using a simple numerical method.

MSC:

62P05	Applications of statistics to actuarial sciences and financial mathematics
65C99	Probabilistic methods, stochastic differential equations

Keywords:

risk reserve process; Poisson process; ruin probability; compound Poisson risk process; general premium rate

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