2005•Journal of Central China Normal UniversityRequires access

Probability of ruin with variable premium rate in diffusion risk model

XU Li-xia

Abstract

The purpose of this paper is to consider a diffusion risk model in which the premium rate is a random variable.Under the general condition,the formula of the ruin probability and the lundberg inequality are derived.Furthermore,by the concrete example,the relationship between the ruin probability,the initial capital,the premium amounts and the claim amounts is discussed.

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Available abstract

Key concepts: Ruin theory, Mathematics, Variable (mathematics), Risk model, First-hitting-time model, Random variable, Diffusion, Economics