Probabilistic approach to risk processes with level-dependent premium rate

Denis Denisov, Niklas Gotthardt, Dmitry Korshunov and Vitali Wachtel

Insurance: Mathematics and Economics, 2024, vol. 118, issue C, 142-156

Abstract: 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; our proving technique is purely probabilistic and based on the analysis of Markov chains with asymptotically zero drift.

Keywords: Risk process; Cramér–Lundberg model; Level-dependent premium rate; Heavy-tailed ruin probability; Transient Markov chain; Down-crossing probabilities (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:118:y:2024:i:c:p:142-156

DOI: 10.1016/j.insmatheco.2024.06.002

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