| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076922 | Insurance: Mathematics and Economics | 2012 | 9 Pages |
Abstract
⺠We extend the classical risk model with an adaptive premium rate policy. ⺠Premium is reviewed each time the surplus drops below previously reached minimum. ⺠A choice between m rates is made depending on the time elapsed since the last drop. ⺠We provide an exact expression for the probability of ruin of this model. ⺠Numerical examples are used to compare this strategy with the constant rate approach.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
David Landriault, Christiane Lemieux, Gordon E. Willmot,