On a modification of the classical risk process |
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Authors: | MS Bratiychuk |
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Institution: | Silesian University of Technology, Institute of Mathematics, Kaszubska 23, 44-100, Gliwice, Poland |
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Abstract: | In this paper, we present the classical risk process with two-step premium function. This means that the gross risk premium rate changes if the insurer’s surplus reaches a certain threshold level. The formula for the infinite-time ruin probability is obtained. The asymptotic behaviour of the ruin probability in the case where the claim size distribution has a light tail is considered as well. |
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Keywords: | 60J30 60K30 |
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