Session: 94

Life

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Summary

The classical Cramer-Lundberg process assumes that the rate of premium income received by the insurance company is a constant. The present paper examines generalization of the classical process in which the rate of premium income varies with time or is stochastic. To construct the generalized process we use the Monte-Carlo simulation. The ruin probability of the insurance company in case of variable premium rate is estimated. The results are illustrated by actual data.

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