Probabilistic approach to risk processes with level-dependent premium rate

We study risk processes with level dependent premium rate. Assuming that the premium rate converges, as the risk reserve increases, to the critical value in the net-profit condition, we obtain upper and lower bounds for the ruin probability. In contrast to existing in the literature results, our app...

Full description

Saved in:
Bibliographic Details
Main Authors Denisov, Denis, Gotthardt, Niklas, Korshunov, Dmitry, Wachtel, Vitali
Format Journal Article
LanguageEnglish
Published 04.11.2023
Subjects
Mathematics - Probability
Online AccessGet full text

Cover

More Information
Summary:We study risk processes with level dependent premium rate. Assuming that the premium rate converges, as the risk reserve increases, to the critical value in the net-profit condition, we obtain upper and lower bounds for the ruin probability. In contrast to existing in the literature results, our approach is purely probabilistic and based on the analysis of Markov chains with asymptotically zero drift.
DOI:10.48550/arxiv.2311.02484