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Cramér-Lundberg Model with Stochastic Premiums and Continuous Non-insurance Costs

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Information Technologies and Mathematical Modelling (ITMM 2014)

Part of the book series: Communications in Computer and Information Science ((CCIS,volume 487))

Abstract

The goal of this paper is to estimate the probability of ruin and the moment-generating function of time to ruin an insurance company in a setting with insurance claims and premiums governed by compound Poisson processes and in the presence of continuous non-insurance costs.

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References

  1. Livshits, K.I.: Probability of Ruin of an Insurance Company for the Poisson Model. Russian Physics Journal 42(4), 394–399 (1999)

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  6. Cheung, E.C.K., Feng, R.: A unified analysis of claim costs up to ruin in a Markovian arrival risk model. Insurance: Mathematics and Economics 53, 98–109 (2013)

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Author information

Authors and Affiliations

  1. National Research Tomsk State University, Tomsk, Russia

    Klimentii Livshits & Konstantin Yakimovich

Authors
  1. Klimentii Livshits
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  2. Konstantin Yakimovich
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Editor information

Editors and Affiliations

  1. Department of Applied Mathematics and Computer Science, Belarusian State University, 220030, Minsk, Belarus

    Alexander Dudin

  2. Tomsk State University, Tomsk, Russia

    Anatoly Nazarov

  3. Kemerovo State University, Anzhero-Sudzhensk, Russia

    Rafael Yakupov

  4. National Research Tomsk State University, 634050, Tomsk, Russia

    Alexander Gortsev

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© 2014 Springer International Publishing Switzerland

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Livshits, K., Yakimovich, K. (2014). Cramér-Lundberg Model with Stochastic Premiums and Continuous Non-insurance Costs. In: Dudin, A., Nazarov, A., Yakupov, R., Gortsev, A. (eds) Information Technologies and Mathematical Modelling. ITMM 2014. Communications in Computer and Information Science, vol 487. Springer, Cham. https://doi.org/10.1007/978-3-319-13671-4_30

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  • DOI: https://doi.org/10.1007/978-3-319-13671-4_30

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-13670-7

  • Online ISBN: 978-3-319-13671-4

  • eBook Packages: Computer ScienceComputer Science (R0)

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