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The Cramér-Lundberg model with stochastic premium process. (English. Russian original) Zbl 1033.60093
Theory Probab. Appl. 47, No. 3, 489-493 (2002); translation from Teor. Veroyatn. Primen. 47, No. 3, 549-553 (2002).
The classical ruin problem is extended in a natural and clever way: the non-ruin probability is chosen as a measure of payment ability. Integral equations and exponential bounds for the non-ruin probability are obtained; they are similar to their counterparts in the Cramér-Lundberg model.

MSC:
60K30 Applications of queueing theory (congestion, allocation, storage, traffic, etc.)
91B30 Risk theory, insurance (MSC2010)
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