Discrete-time risk models with surplus-dependent premium corrections
作者：
Highlights：
• Probability theory and stochastic processes: Discrete-time risk processes with surplus-dependent insurance premium corrections, which allow adjustments in premium transition rules according to the insurance company’s current surplus.
• Numerical analyses: Recursive calculation of finite-time ruin probabilities and finite-time Parisian ruin probabilities.
摘要
•Probability theory and stochastic processes: Discrete-time risk processes with surplus-dependent insurance premium corrections, which allow adjustments in premium transition rules according to the insurance company’s current surplus.•Numerical analyses: Recursive calculation of finite-time ruin probabilities and finite-time Parisian ruin probabilities.
论文关键词：Discrete-time risk model,Bonus-malus system,Finite-time ruin,Recursive computation,Surplus-dependent premiums,Parisian ruin
论文评审过程：Received 3 March 2022, Revised 4 August 2022, Accepted 17 August 2022, Available online 18 September 2022, Version of Record 18 September 2022.
论文官网地址：https://doi.org/10.1016/j.amc.2022.127495
