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Boikov, A.V. (2002) The Cramer-Lundberg Model with Stochastic Premiums. Teoriya Veroyatnostii Primeneniya, 47, 549-553. https://doi.org/10.4213/tvp3693

has been cited by the following article:

• TITLE: Discrete Time Risk Model Financed by Random Premiums

  AUTHORS: Andrzej Korzeniowski

  KEYWORDS: Risk Process, Kolmogorov Maximal Inequality, Stopped Martingale, Probability of Ruin

  JOURNAL NAME: Journal of Mathematical Finance, Vol.12 No.1, February 14, 2022

  ABSTRACT: We propose a novel actuarial risk model which, unlike the classical Crámer-Lundberg model, incorporates a stream of random premiums that offset random claims. A key feature of the model is a discrete time accounting of premiums and claims flow, whereby lending itself to random walk type analysis. We derive various estimates of ruin probability thereby providing an effective method of risk assessment over a future time horizon.