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Ruin Probability in Models with Stochastic Premiums

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Abstract

The ruin probability of an insurance company is studied under two different risk models with stochastic premiums. We obtain upper bounds for the probability of ruin provided that either the aggregate claims process or the aggregate premium process is constructed using the renewal process.

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Authors and Affiliations

  1. Faculty of Mechanics and Mathematics, Moscow State University, 119991, Moscow, Russia

    A. A. Muromskaya

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  1. A. A. Muromskaya
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Correspondence to A. A. Muromskaya.

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Translated by I. Tselishcheva

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Muromskaya, A.A. Ruin Probability in Models with Stochastic Premiums. Moscow Univ. Math. Bull. 75, 177–180 (2020). https://doi.org/10.3103/S0027132220040038

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  • DOI: https://doi.org/10.3103/S0027132220040038

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