Probabilistic approach to risk processes with level-dependent premium rate
Probability
2023-11-07 v1
Abstract
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.
Keywords
Cite
@article{arxiv.2311.02484,
title = {Probabilistic approach to risk processes with level-dependent premium rate},
author = {Denis Denisov and Niklas Gotthardt and Dmitry Korshunov and Vitali Wachtel},
journal= {arXiv preprint arXiv:2311.02484},
year = {2023}
}
Comments
37 pages. arXiv admin note: text overlap with arXiv:1612.01592