| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077576 | Insurance: Mathematics and Economics | 2007 | 7 Pages |
Abstract
In this paper, we present the classical risk process with two-step premium function. This means that the gross risk premium rate changes if the insurer's surplus reaches a certain threshold level. The formula for the infinite-time ruin probability is obtained. The asymptotic behaviour of the ruin probability in the case where the claim size distribution has a light tail is considered as well.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
M.S. Bratiychuk, D. Derfla,