Risk process with stochastic income and two-step premium rate |
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| Authors: | Ie Karnaukh |
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| Institution: | Kyiv National University of Trade and Economics, 19 Kioto Str., 02156 Kyiv, Ukraine |
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| Abstract: | In this paper we deal with the risk reserve process with stochastic premium function. We assume that the premiums sizes have exponential distribution with the rate depending on some threshold level. The representation for the discounted defective joint density of surplus and deficit at ruin is obtained. |
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| Keywords: | Risk process Stochastic premiums Two-step premium rate Discounted joint density |
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