Risk process with stochastic premiums
The Cramer-Lundberg model with stochastic premiums which is natural generalization of classical dynamic risk model is considered. Using martingale technique the Lundberg inequality for ruin probability is proved and characteristic equations for Lundberg coefficients are presented for certain classes...
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| Datum: | 2008 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Інститут математики НАН України
2008
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| Online Zugang: | http://dspace.nbuv.gov.ua/handle/123456789/4576 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | Risk process with stochastic premiums / N. Zinchenko, A. Andrusiv // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 3-4. — С. 189-208. — Бібліогр.: 36 назв.— англ. |