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

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