Probabilistic approach to risk processes with level-dependent premium rate

Autor:	Denisov, Denis, Gotthardt, Niklas, Korshunov, Dmitry, Wachtel, Vitali
Rok vydání:	2023
Předmět:	Mathematics - Probability primary 91B05 secondary 60J20 60F10
Druh dokumentu:	Working Paper
Popis:	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. Comment: 37 pages. arXiv admin note: text overlap with arXiv:1612.01592
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2311.02484 Zobrazit plný text záznamu View this record from Arxiv