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

Abstract

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… (More)
DOI: 10.1137/110852000

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