Exact and Asymptotic Results for Insurance Risk Models with Surplus-dependent Premiums

@article{Albrecher2013ExactAA,
  title={Exact and Asymptotic Results for Insurance Risk Models with Surplus-dependent Premiums},
  author={H. Albrecher and C. Constantinescu and Z. Palmowski and G. Regensburger and M. Rosenkranz},
  journal={SIAM J. Appl. Math.},
  year={2013},
  volume={73},
  pages={47-66}
}
  • H. Albrecher, C. Constantinescu, +2 authors M. Rosenkranz
  • Published 2013
  • Computer Science, Economics, Mathematics
  • SIAM J. Appl. Math.
  • In this paper we develop a symbolic technique to obtain asymptotic expressions for ruin probabilities and discounted penalty functions in renewal insurance risk models when the premium income depends on the present surplus of the insurance portfolio. The analysis is based on boundary problems for linear ordinary differential equations with variable coefficients. The algebraic structure of the Green's operators allows us to develop an intuitive way of tackling the asymptotic behavior of the… CONTINUE READING

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