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Wang, Y.Y., Yu, W.G. and Huang, Y.J. (2019) Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income. Discrete Dynamics in Nature and Society, 2019, Article ID: 5071268.
https://doi.org/10.1155/2019/5071268

has been cited by the following article:

• TITLE: Ruin Probability for Risk Model with Random Premiums

  AUTHORS: Andrzej Korzeniowski

  KEYWORDS: Discrete-Time Risk Process, Random Walk with Drift, Invariance Principle, Probability of Ruin

  JOURNAL NAME: Journal of Mathematical Finance, Vol.13 No.2, May 25, 2023

  ABSTRACT: Based on Invariance Principle for Brownian Motion, we obtained a closed-form expression of the ruin probability for the Discrete-Time Risk Model with Random Premiums that was recently introduced by Korzeniowski [1]. We show that in this model, given two strategies that have the same probability of ultimate ruin, the strategy with larger initial capital and smaller loading factor is less risky than the strategy with smaller initial capital and larger loading factor in that it lowers the probability of ruin on the finite time horizon.