How Much We Gain by Surplus-Dependent Premiums—Asymptotic Analysis of Ruin Probability
Abstract
:1. Introduction
- (i)
- Erlang-distributed interarrival times with Exp-distributed claim sizes,
- (ii)
- Exp-distributed interarrival times with Erlang-distributed claim sizes.
- P1.
- The premium function behaving like a constant at infinity
- P2.
- The premium function exploding at infinity, as
2. Ruin Probabilities—Method
3. Erlang Distributed Interarrival Times with Exp Distributed Claim Sizes
3.1. General Premium
3.2. Linear Premium
4. Exp-Distributed Interarrival Times with Erlang-Distributed Claim Sizes
4.1. General Premium
4.2. Linear Premium
5. Asymptotic Analysis—Comparison Results
5.1. Exp-Distributed Interarrival Times with Exp-Distributed Claim Sizes
5.2. Erlang-Distributed Interarrival Times with Exp-Distributed Claim Sizes
5.3. Exp-Distributed Interarrival Times with Erlang-Distributed Claim Sizes
6. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
Appendix A
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Wang, J.; Palmowski, Z.; Constantinescu, C. How Much We Gain by Surplus-Dependent Premiums—Asymptotic Analysis of Ruin Probability. Risks 2021, 9, 157. https://doi.org/10.3390/risks9090157
Wang J, Palmowski Z, Constantinescu C. How Much We Gain by Surplus-Dependent Premiums—Asymptotic Analysis of Ruin Probability. Risks. 2021; 9(9):157. https://doi.org/10.3390/risks9090157
Chicago/Turabian StyleWang, Jing, Zbigniew Palmowski, and Corina Constantinescu. 2021. "How Much We Gain by Surplus-Dependent Premiums—Asymptotic Analysis of Ruin Probability" Risks 9, no. 9: 157. https://doi.org/10.3390/risks9090157